Re: [R] which alternative tests instead of AIC/BIC for choosing models

Hi Ben, Try the following reference: Implementing Statistical Criteria To Select Return Forecasting Models: What do We Learn? By Peter Bossaerts and Pierre Hillion, Review of Financial Studies, Vol. 12, No. 2. I have created an R function which implements Bossearts and Hillion's methodologies. I

Re: [R] which alternative tests instead of AIC/BIC for choosing models

Dear Prob. Ripley, Thanks for this, now appreciating the point about Cp significantly more. Tolga Prof Brian Ripley <[EMAIL PROTECTED]> 13/08/2008 21:29 To [EMAIL PROTECTED] cc r-help@r-project.org Subject Re: [R] which alternative tests instead of AIC/BIC for choosing models

Re: [R] which alternative tests instead of AIC/BIC for choosing models

> > 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 variable

Re: [R] which alternative tests instead of AIC/BIC for choosing models

Cp is either the same thing as AIC, or an approximation to it. So it is not an 'alternative'. See e.g. the discussion in MASS or ?add1. On Wed, 13 Aug 2008, [EMAIL PROTECTED] wrote: By way of partial follow-up to my own question, and on the odd chance anyone else wonders about this issue, so

Re: [R] which alternative tests instead of AIC/BIC for choosing models

By way of partial follow-up to my own question, and on the odd chance anyone else wonders about this issue, some alternatives to this appear to be in the leaps package, which implements the leaps routine (Mallows Cp) and regsubsets. In my case Mallows' Cp does not work either (see below), so I

Re: [R] which alternative tests instead of AIC/BIC for choosing models

Many thanks John, appreciate the advice, Tolga "John C Frain" <[EMAIL PROTECTED]> 13/08/2008 18:51 To [EMAIL PROTECTED] cc r-help@r-project.org Subject Re: [R] which alternative tests instead of AIC/BIC for choosing models My initial idea would be to forget about AIC

Re: [R] which alternative tests instead of AIC/BIC for choosing models

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 redunda

[R] which alternative tests instead of AIC/BIC for choosing models

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 per