IDEAS home Printed from https://ideas.repec.org/p/tky/fseres/2009cf614.html
   My bibliography  Save this paper

Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models

Author

Listed:
  • Tatsuya Kubokawa

    (Faculty of Economics, University of Tokyo)

  • Muni S. Srivastava

    (Department of Statistics, University of Toronto)

Abstract

The paper addresses the problem of selecting variables in the two-stage sampling models characterized as a linear mixed model. We obtain the Empirical Bayes Information Criterion (EBIC) using a prior distribution on regression coefficients with an unknown hyper-parameter. It is shown that EBIC not only has the nice asymptotic property of the consistency as a variable selection, but also performs better in small sample sizes than the conventional methods like BIC and AIC in light of selecting the true variables.

Suggested Citation

  • Tatsuya Kubokawa & Muni S. Srivastava, 2009. "Consistency of the Empirical Bayes Information Criterion for Selecting Variables in Linear Mixed Models," CIRJE F-Series CIRJE-F-614, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2009cf614
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tatsuya Kubokawa, 2009. "A Review of Linear Mixed Models and Small Area Estimation," CIRJE F-Series CIRJE-F-702, CIRJE, Faculty of Economics, University of Tokyo.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tky:fseres:2009cf614. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CIRJE administrative office (email available below). General contact details of provider: https://edirc.repec.org/data/ritokjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.