My initial idea would be to forget about AIC and BIC, ask the question what would one expect to get in the regression and then regress y on x1 and x2 and use a simple t-test to determine what should be included. Remember that omitted variables will bias your coefficients but if you include redundant variables your results will remain consistent. I presume that you do not have any problems with non-stationary variables.
Best Regards John 2008/8/13 <[EMAIL PROTECTED]>: > Dear R Users, > > I am looking for an alternative to AIC or BIC to choose model parameters. > This is somewhat of a general statistics question, but I ask it in this > forum as I am looking for a R solution. > > Suppose I have one dependent variable, y, and two independent variables, > x1 an x2. > > I can perform three regressions: > reg1: y~x1 > reg2: y~x2 > reg3: y~x1+x2 > > The AIC of reg1 is 2000, reg2 is 1000 and reg3 is 950. One would, > presumably, conclude that one should use both x1 and x2. However, the > R^2's are quite different: R^2 of reg1 is 0.5%, reg2 is 95% and reg3 is > 95.25%. Knowing that, I would actually conclude that x1 adds litte and > should probably not be used. > > There is the overall question of what potentially explains this outcome, > i.e. the reduction in AIC in going from reg2 to reg3 even though R^2 does > not materially improve > with the addition of x1 to reg 2 (to get to reg3). But that is more of a > generic statistics issue and not my question here. > > The question I do have is, is there a package in R which implements a test > and provides some diagnostic information I can use to rule out the use of > x1 in a systematic way as it's addition to the equation adds little in > terms of explaining the variability of y. > > Thanks in advance, > Tolga > > Generally, this communication is for informational purposes only > and it is not intended as an offer or solicitation for the purchase > or sale of any financial instrument or as an official confirmation > of any transaction. In the event you are receiving the offering > materials attached below related to your interest in hedge funds or > private equity, this communication may be intended as an offer or > solicitation for the purchase or sale of such fund(s). All market > prices, data and other information are not warranted as to > completeness or accuracy and are subject to change without notice. > Any comments or statements made herein do not necessarily reflect > those of JPMorgan Chase & Co., its subsidiaries and affiliates. > > This transmission may contain information that is privileged, > confidential, legally privileged, and/or exempt from disclosure > under applicable law. If you are not the intended recipient, you > are hereby notified that any disclosure, copying, distribution, or > use of the information contained herein (including any reliance > thereon) is STRICTLY PROHIBITED. Although this transmission and any > attachments are believed to be free of any virus or other defect > that might affect any computer system into which it is received and > opened, it is the responsibility of the recipient to ensure that it > is virus free and no responsibility is accepted by JPMorgan Chase & > Co., its subsidiaries and affiliates, as applicable, for any loss > or damage arising in any way from its use. If you received this > transmission in error, please immediately contact the sender and > destroy the material in its entirety, whether in electronic or hard > copy format. Thank you. > Please refer to http://www.jpmorgan.com/pages/disclosures for > disclosures relating to UK legal entities. > [[alternative HTML version deleted]] > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > -- John C Frain Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:[EMAIL PROTECTED] mailto:[EMAIL PROTECTED] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.