Model selection in orthogonal regression

Allan McQuarrie and Chih-Ling Tsai

Statistics & Probability Letters, 1999, vol. 45, issue 4, 341-349

Abstract: We develop the relationship between the stepwise F-test model selection criteria and information-based criteria for orthogonal regression models. We obtain the asymptotic properties of the stepwise F-tests with respect to efficiency and consistency. The performances of F-test as well as other efficient and consistent criteria are compared via a large scale simulation study. The results indicate that three of the F-test criteria should be considered for routine data analysis.

Keywords: AIC; Asymptotic; property; Consistency; Efficiency; F-test; SIC (search for similar items in EconPapers)
Date: 1999
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