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Selection criteria for overlapping binary Models

M. T. Aparicio and I. Villanúa
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M. T. Aparicio: University of Zaragoza
I. Villanúa: University of Zaragoza

Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza

Abstract: The binary model selection procedures are the purpose of this paper. It has been very often studied in the case of linear and nested competing models, but not too much in the framework of non linear and non nested models. Using the classification of Vuong (1989) in nested, overlapping and strictly non-nested models, we focus on the overlapping models. The special situation that the competing models don’t include the true model is studied together with the usual case of the true model included in the compared models. We carry out the analysis both theoretically and through a Monte Carlo experiment.

Keywords: logit and probit; selection criteria; overlapping models; true model; convergence; asymptotic behaviour. (search for similar items in EconPapers)
JEL-codes: C15 C25 C44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dcm and nep-ecm
Date: 2012-01
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