[R-sig-eco] glm-model evaluation

[Ruben Roa Ureta]

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> Ruben Roa Ureta wrote:
>
> | I have traced the rule about 2 as the minimum difference to favour one
> | model over the other to remark 2, Ch. 4, Sakamoto, Ishiguro and
> Kitagawa,
> | 1986, Akaike Information Criterion Statistics. D. Reídle Publishing Co,
> | Dordrecht. They use the expression 'significant difference between
> | models'. However, they do not explain why they think that 2 is the
> minimum
> | 'significant' delta AIC. Does anybody know more about a justification
> for
> | this threshold?
> | Rubén
>
> ~  I would really strongly recommend AGAINST trying to justify
> "significance thresholds" for AIC (B&A 2002 say this too).

Note that I used quotes as in 'significant difference between
models'. I think the concept of 'significance' as in significance tests
does not apply to I-T model selection. I only wanted to know about any
justification for the delta AIC=2 rule.

> - -2 AIC points corresponds to adding a single parameter with no
> explanatory power at all, so it makes sense to me to consider
> this a "minimal change" in the penalized GOF/expected K-L
> distance/whatever.

Aha, that's interesting.
Thanks
Rubén