Model selection in orthogonal regression
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.
Year of publication: |
1999
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Authors: | McQuarrie, Allan ; Tsai, Chih-Ling |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 45.1999, 4, p. 341-349
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Publisher: |
Elsevier |
Keywords: | AIC Asymptotic property Consistency Efficiency F-test SIC |
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