Quotation Mair, Patrick, Zeileis, Achim. 2007. Out-of-sample bootstrap tests for non-nested models. In Proceedings of the 22nd Workshop on Statistical Modelling, Hrsg. Joan del Castillo, Anna Espinal, Pedro Puig, 427-430. -: -.


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Abstract

When testing non-nested models, the asymptotic distribution theory of the ordinary likelihood ratio statistic is not valid anymore. Several test statistics, some of them based on information criteria, have been proposed in order to test such non-nested hypotheses. Concerning bootstrap approaches to simulate goodness-of-fit measures such as the likelihood ratio value, have been elaborated as well. Based on these methods, we extend existing bootstrap simulations towards out-of-sample bootstrap evaluation. As an application, a parametric bootstrap on simulated regression data is provided.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Contribution to conference proceedings
Language English
Title Out-of-sample bootstrap tests for non-nested models
Title of whole publication Proceedings of the 22nd Workshop on Statistical Modelling
Editor Joan del Castillo, Anna Espinal, Pedro Puig
Page from 427
Page to 430
Location -
Publisher -
Year 2007
URL http://statmath.wu.ac.at/~zeileis/papers/Mair+Zeileis-2007.pdf

Associations

People
Mair, Patrick (Former researcher)
Zeileis, Achim (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
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