[R] which alternative tests instead of AIC/BIC for choosing models

John C Frain frainj at gmail.com
Wed Aug 13 19:51:20 CEST 2008


My initial idea would be to forget about AIC and BIC, ask the question
what would one expect to get in the regression and then regress y on
x1 and x2 and use a simple t-test to determine what should be
included.  Remember that omitted variables will bias your coefficients
but if you include redundant variables your results will remain
consistent.  I presume that you do not have any problems with
non-stationary variables.

Best Regards

John

2008/8/13  <tolga.i.uzuner at jpmorgan.com>:
> Dear R Users,
>
> I am looking for an alternative to AIC or BIC to choose model parameters.
> This is somewhat of a general statistics question, but I ask it in this
> forum as I am looking for a R solution.
>
> Suppose I have one dependent variable, y, and two independent variables,
> x1 an x2.
>
> I can perform three regressions:
> reg1: y~x1
> reg2: y~x2
> reg3: y~x1+x2
>
> The AIC of reg1 is 2000, reg2 is 1000 and reg3 is 950. One would,
> presumably, conclude that one should use both x1 and x2.  However, the
> R^2's are quite different: R^2 of reg1 is 0.5%, reg2 is 95% and reg3 is
> 95.25%. Knowing that, I would actually conclude that x1 adds litte and
> should probably not be used.
>
> There is the overall question of what potentially explains this outcome,
> i.e. the reduction in AIC in going from reg2 to reg3 even though R^2 does
> not materially improve
> with the addition of x1 to reg 2 (to get to reg3). But that is more of a
> generic statistics issue and not my question here.
>
> The question I do have is, is there a package in R which implements a test
> and provides some diagnostic information I can use to rule out the use of
> x1 in a systematic way as it's addition to the equation adds little in
> terms of explaining the variability of y.
>
> Thanks in advance,
> Tolga
>
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-- 
John C Frain
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj at tcd.ie
mailto:frainj at gmail.com



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