Selecting mixed-effects models based on a generalized information criterion

Wenji Pu and Xu-Feng Niu

Journal of Multivariate Analysis, 2006, vol. 97, issue 3, 733-758

Abstract: The generalized information criterion (GIC) proposed by Rao and Wu [A strongly consistent procedure for model selection in a regression problem, Biometrika 76 (1989) 369-374] is a generalization of Akaike's information criterion (AIC) and the Bayesian information criterion (BIC). In this paper, we extend the GIC to select linear mixed-effects models that are widely applied in analyzing longitudinal data. The procedure for selecting fixed effects and random effects based on the extended GIC is provided. The asymptotic behavior of the extended GIC method for selecting fixed effects is studied. We prove that, under mild conditions, the selection procedure is asymptotically loss efficient regardless of the existence of a true model and consistent if a true model exists. A simulation study is carried out to empirically evaluate the performance of the extended GIC procedure. The results from the simulation show that if the signal-to-noise ratio is moderate or high, the percentages of choosing the correct fixed effects by the GIC procedure are close to one for finite samples, while the procedure performs relatively poorly when it is used to select random effects.

Keywords: Inter-subject; variation; Within-subject; variation; Model; selection; Penalty; functions (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (11)

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