An iterative approach to variable selection based on the Kullback-Leibler information

Anthony W. Hughes, Maxwell L. King

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Model selection criteria based on estimates of the Kullback-Leibler information have become popular among statisticians and econometricians. This group of criteria includes Akaike's (1973) AIC and Sugiura's (1978) bias corrected AIC (AICC). It has been suggested that reduction of the bias in estimating the Kullback-Leibler information can lead to better model selection. In this paper we propose a method of reducing the bias of AICC by relaxing one of the key assumptions made in its derivation. Monte Carlo evidence presented suggests that this new procedure outperforms AICC under certain circumstances even in very small samples. Despite this, the results indicate that AICc's model selection performance is highly robust to the assumption that is made.

Original languageEnglish
Pages (from-to)1043-1057
Number of pages15
JournalCommunications in Statistics - Theory and Methods
Volume28
Issue number5
DOIs
Publication statusPublished - 1 Jan 1999

Keywords

  • AIC
  • Bias corrected AIC
  • Model selection
  • Small sample performance

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