Selection Criteria for Overlapping Binary Models—A Simulation Study

Teresa Aparicio and Inmaculada Villanúa
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Teresa Aparicio: Department of Economic Analysis, University of Zaragoza, Gran Vía, 2, 50005 Zaragoza, Spain
Inmaculada Villanúa: Department of Economic Analysis, University of Zaragoza, Gran Vía, 2, 50005 Zaragoza, Spain

Mathematics, 2022, vol. 10, issue 3, 1-15

Abstract: This paper deals with the problem of choosing the optimum criterion for selecting the best model out of a set of overlapping binary models. The criteria we studied were the well-known AIC and SBIC, and a third one called C 2 . Special attention was paid to the setting where neither of the competing models was correctly specified. This situation has not been studied very much but it is the most common case in empirical works. The theoretical study we carried out allowed us to conclude that, in general terms, all criteria perform well. A Monte Carlo exercise corroborated those results.

Keywords: binary choice models; overlapping models; Kullback–Leibler distance; discrepancy; information criterion; correctly specified models (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
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