[R] Question about BIC of two different regression models? how should we compare two regression models?

[Bert Gunter]

Inline:

On Fri, Sep 2, 2011 at 8:09 AM, Patrick Breheny <patrick.breheny at uky.edu> wrote:
> On 09/02/2011 08:48 AM, John Sorkin wrote:
>>
>> I believe when using BIC one needs to compare nested models
>
> This is wrong.  Hypothesis tests rely on nested models; information criteria
> do not.
>

Yes, indeed. It may additionally be worth noting what has has been
noted on this list before: the actual definition of such criteria is
given only up to a constant, so different **software** may give
different answers on the same data. Hence be sure to compare results
using the same software or make any necessary additive adjustments
based on the details of how the software does the calculation when
results from different software are being compared.

Cheers,
Bert

> --
> Patrick Breheny
> Assistant Professor
> Department of Biostatistics
> Department of Statistics
> University of Kentucky
>
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-- 
"Men by nature long to get on to the ultimate truths, and will often
be impatient with elementary studies or fight shy of them. If it were
possible to reach the ultimate truths without the elementary studies
usually prefixed to them, these would not be preparatory studies but
superfluous diversions."

-- Maimonides (1135-1204)

Bert Gunter
Genentech Nonclinical Biostatistics