Model Selection via Bayesian Information Criterion for Quantile Regression Models

2014 ◽  
Vol 109 (505) ◽  
pp. 216-229 ◽  
Author(s):  
Eun Ryung Lee ◽  
Hohsuk Noh ◽  
Byeong U. Park
Economies ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 49 ◽  
Author(s):  
Waqar Badshah ◽  
Mehmet Bulut

Only unstructured single-path model selection techniques, i.e., Information Criteria, are used by Bounds test of cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely used information criteria {Akaike Information Criterion (AIC), Akaike Information Criterion Corrected (AICC), Schwarz/Bayesian Information Criterion (SIC/BIC), Schwarz/Bayesian Information Criterion Corrected (SICC/BICC), and Hannan and Quinn Information Criterion (HQC)} and three structured approaches (Forward Selection, Backward Elimination, and Stepwise) by assessing their size and power properties at different sample sizes based on Monte Carlo simulations, and second was the assessment of the same based on real economic data. The second aim was achieved by the evaluation of the long-run relationship between three pairs of macroeconomic variables, i.e., Energy Consumption and GDP, Oil Price and GDP, and Broad Money and GDP for BRICS (Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information criteria and structured procedures have the same powers for a sample size of 50 or greater. However, BICC and Stepwise are better at small sample sizes. In the light of simulation and real data results, a modified Bounds test with Stepwise model selection procedure may be used as it is strongly theoretically supported and avoids noise in the model selection process.


2021 ◽  
Vol 20 (3) ◽  
pp. 450-461
Author(s):  
Stanley L. Sclove

AbstractThe use of information criteria, especially AIC (Akaike’s information criterion) and BIC (Bayesian information criterion), for choosing an adequate number of principal components is illustrated.


Author(s):  
Paulo Cortez ◽  
Miguel Rocha ◽  
José Neves

This chapter presents a hybrid evolutionary computation/neural network combination for time series prediction. Neural networks are innate candidates for the forecasting domain due to advantages such as nonlinear learning and noise tolerance. However, the search for the ideal network structure is a complex and crucial task. Under this context, evolutionary computation, guided by the Bayesian Information Criterion, makes a promising global search approach for feature and model selection. A set of 10 time series, from different domains, were used to evaluate this strategy, comparing it with a heuristic model selection, as well as with conventional forecasting methods (e.g., Holt-Winters & Box-Jenkins methodology).


2016 ◽  
Vol 69 ◽  
pp. 22-27 ◽  
Author(s):  
Arash Mehrjou ◽  
Reshad Hosseini ◽  
Babak Nadjar Araabi

2006 ◽  
Vol 27 (2) ◽  
pp. 169-180 ◽  
Author(s):  
Marc Mazerolle

AbstractIn ecology, researchers frequently use observational studies to explain a given pattern, such as the number of individuals in a habitat patch, with a large number of explanatory (i.e., independent) variables. To elucidate such relationships, ecologists have long relied on hypothesis testing to include or exclude variables in regression models, although the conclusions often depend on the approach used (e.g., forward, backward, stepwise selection). Though better tools have surfaced in the mid 1970's, they are still underutilized in certain fields, particularly in herpetology. This is the case of the Akaike information criterion (AIC) which is remarkably superior in model selection (i.e., variable selection) than hypothesis-based approaches. It is simple to compute and easy to understand, but more importantly, for a given data set, it provides a measure of the strength of evidence for each model that represents a plausible biological hypothesis relative to the entire set of models considered. Using this approach, one can then compute a weighted average of the estimate and standard error for any given variable of interest across all the models considered. This procedure, termed model-averaging or multimodel inference, yields precise and robust estimates. In this paper, I illustrate the use of the AIC in model selection and inference, as well as the interpretation of results analysed in this framework with two real herpetological data sets. The AIC and measures derived from it is should be routinely adopted by herpetologists.


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