Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Maarten buis <maartenbuis@yahoo.co.uk> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: criticisms of classical model selection methods |
Date | Thu, 19 Aug 2010 11:39:04 +0000 (GMT) |
--- On Thu, 19/8/10, Sam Brilleman wrote: > Is anyone able to point me in the direction of references > dealing with the discussion for and against traditional > methods of model selection. I am particularly interested in > criticisms of the assumptions on which commonly used model > selection criteria are based (eg. AIC, BIC, etc). Raftery, Adrian E. 1995. "Bayesian Model Selection in Social Research." Sociological Methodology 25:111–163. And in particular the comments that follow this article G. Claeskens and Nils Lid Hjort (2008) Model Selection and Model Averaging, Cambridge University Press Burnham, K. P., and D. R. Anderson. 2002. Model selection and multimodel inference: a practical information-theoretic approach. 2nd Edition. Springer-Verlag, New York, New York. > I'm also quite interested to hear what measures people > often use when selecting between competing non-nested > models, particularly when the models are non-linear. Is AIC > reasonable when the models differ only by one covariate, or > is it always worthwhile making judgement on a number of GOF > tests? This very much depends on what the aim of the model selection is: If the comparison of models is done to test a specific hypothesis then it is nice to stick to a single logic on which to base your decision to choose one model over the other. All these logics are flawed, so the best thing you can do is choose the one that is most commonly used in your (sub-sub-)discipline. If the comparison of models is done to find the "best" model, then you need to start with defining what "best" means. Almost always you find that there is no way you can cover that with one goodness of fit statistic, or even many of these statistics. Hope this helps, Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/