Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models

Tatsuya Kubokawa and Muni S. Srivastava
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Tatsuya Kubokawa: Faculty of Economics, University of Tokyo
Muni S. Srivastava: Department of Statistics, University of Toronto

No CIRJE-F-614, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The paper addresses the problem of selecting variables in the two-stage sampling models characterized as a linear mixed model. We obtain the Empirical Bayes Information Criterion (EBIC) using a prior distribution on regression coefficients with an unknown hyper-parameter. It is shown that EBIC not only has the nice asymptotic property of the consistency as a variable selection, but also performs better in small sample sizes than the conventional methods like BIC and AIC in light of selecting the true variables.

Pages: 20pages
Date: 2009-02
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2009cf614

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