Choice Among Hypotheses Using Estimation Criteria

Constantinos Goutis and Christian P. Robert

Annals of Economics and Statistics, 1997, issue 46, 1-22

Abstract: A rule for choosing among nested models is presented, taking into account that the usual model selection procedure is a sequence of tests, followed by estimation of the parameters that remain in the model. We take a decision theoretical approach and formulate the loss functions and the rules from a Bayesian point of view. The rule resembles a Neyman-Pearson type test but it takes into consideration the estimation loss across different candidate models and reports an estimate together with an associated loss, taking into account the uncertainty in the selection. The method is compared with other existing procedures and illustrated by examples.

Date: 1997
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.jstor.org/stable/20076066 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1997:i:46:p:1-22

Access Statistics for this article

Annals of Economics and Statistics is currently edited by Laurent Linnemer

More articles in Annals of Economics and Statistics from GENES Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Laurent Linnemer ().