Selection criteria for overlapping binary Models

The binary model selection procedures are the purpose of this paper. It has been very often studied in the case of linear and nested competing models, but not too much in the framework of non linear and non nested models. Using the classification of Vuong (1989) in nested, overlapping and strictly non-nested models, we focus on the overlapping models. The special situation that the competing models don’t include the true model is studied together with the usual case of the true model included in the compared models. We carry out the analysis both theoretically and through a Monte Carlo experiment.