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Model selection in orthogonal regression

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  • McQuarrie, Allan
  • Tsai, Chih-Ling

Abstract

We develop the relationship between the stepwise F-test model selection criteria and information-based criteria for orthogonal regression models. We obtain the asymptotic properties of the stepwise F-tests with respect to efficiency and consistency. The performances of F-test as well as other efficient and consistent criteria are compared via a large scale simulation study. The results indicate that three of the F-test criteria should be considered for routine data analysis.

Suggested Citation

  • McQuarrie, Allan & Tsai, Chih-Ling, 1999. "Model selection in orthogonal regression," Statistics & Probability Letters, Elsevier, vol. 45(4), pages 341-349, December.
    • Handle: RePEc:eee:stapro:v:45:y:1999:i:4:p:341-349
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    References listed on IDEAS

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    1. McQuarrie, Allan & Shumway, Robert & Tsai, Chih-Ling, 1997. "The model selection criterion AICu," Statistics & Probability Letters, Elsevier, vol. 34(3), pages 285-292, June.
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