On inconsistency of Hellwig's variable choice method in regression models

Tadeusz Bednarski; Filip Borowicz

Discussiones Mathematicae Probability and Statistics (2009)

  • Volume: 29, Issue: 1, page 41-51
  • ISSN: 1509-9423

Abstract

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It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.

How to cite

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Tadeusz Bednarski, and Filip Borowicz. "On inconsistency of Hellwig's variable choice method in regression models." Discussiones Mathematicae Probability and Statistics 29.1 (2009): 41-51. <http://eudml.org/doc/277066>.

@article{TadeuszBednarski2009,
abstract = {It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.},
author = {Tadeusz Bednarski, Filip Borowicz},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {model choice; econometric modeling},
language = {eng},
number = {1},
pages = {41-51},
title = {On inconsistency of Hellwig's variable choice method in regression models},
url = {http://eudml.org/doc/277066},
volume = {29},
year = {2009},
}

TY - JOUR
AU - Tadeusz Bednarski
AU - Filip Borowicz
TI - On inconsistency of Hellwig's variable choice method in regression models
JO - Discussiones Mathematicae Probability and Statistics
PY - 2009
VL - 29
IS - 1
SP - 41
EP - 51
AB - It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.
LA - eng
KW - model choice; econometric modeling
UR - http://eudml.org/doc/277066
ER -

References

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  1. [1] H. Akaike, Information theory and an extension of the maximum likelihood principle, In Second International Symposium on Information Theory, Budapest: Academiai Kiado (1973), 267-81. Zbl0283.62006
  2. [2] T. Bednarski and E. Mocarska, On robust model selection within the Cox model, Econometrics Journal 9, (2006), 279-290. Zbl1096.62138
  3. [3] Z. Hellwig, Problem optymalnego doboru predyktant, Przegląd Statystyczny nr 4 (1969). 
  4. [4] J.A.F. Machado, Robust model selection and M-estimation, Econometric Theory 9 (1993), 478-493. 
  5. [5] G. Schwarz, Estimating the dimension of a model, The Annals of Statistics 6 (2) (1978), 461-64. 
  6. [6] D. Serwa, Metoda Hellwiga jako kryterium doboru zmiennych do modeli szeregów czasowych, Szkoła Główna Handlowa, Kolegium analiz Ekonomicznych, Instytut Ekonometrii 2004. 

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