Evaluating Predictors of Dispersion: A Comparison of Dominance Analysis and Bayesian Model Averaging

Yiyun Shou () and Michael Smithson

Psychometrika, 2015, vol. 80, issue 1, 236-256

Abstract: Conventional measures of predictor importance in linear models are applicable only when the assumption of homoscedasticity is satisfied. Moreover, they cannot be adapted to evaluating predictor importance in models of heteroscedasticity (i.e., dispersion), an issue that seems not to have been systematically addressed in the literature. We compare two suitable approaches, Dominance Analysis (DA) and Bayesian Model Averaging (BMA), for simultaneously evaluating predictor importance in models of location and dispersion. We apply them to the beta general linear model as a test-case, illustrating this with an example using real data. Simulations using several different model structures, sample sizes, and degrees of multicollinearity suggest that both DA and BMA largely agree on the relative importance of predictors of the mean, but differ when ranking predictors of dispersion. The main implication of these findings for researchers is that the choice between DA and BMA is most important when they wish to evaluate the importance of predictors of dispersion. Copyright The Psychometric Society 2015

Keywords: heteroscedasticity; predictor importance; dominance analysis; Bayesian model averaging; beta regression; beta GLM (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11336-013-9375-8

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