Bootstrap-based model selection criteria for beta regressions

Fábio M. Bayer ^[1] ; Francisco Cribari-Neto ^[2]
1. [1] Universidade Federal de Santa Maria
  
  Universidade Federal de Santa Maria
  
  Brasil
2. [2] Universidade Federal de Pernambuco
  
  Universidade Federal de Pernambuco
  
  Brasil
Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 24, Nº. 4, 2015, págs. 776-795
Idioma: inglés
DOI: 10.1007/s11749-015-0434-6
Texto completo no disponible (Saber más ...)

Resumen
- This paper addresses the issue of model selection in the beta regression model focused on small samples. The Akaike information criterion (AIC) is a model selection criterion widely used in practical applications. The AIC is an estimator of the expected log-likelihood value, and measures the discrepancy between the true model and the estimated model. In small samples, the AIC is biased and tends to select overparameterized models. To circumvent that problem, we propose two new selection criteria, namely: the bootstrapped likelihood quasi-CV and its 632QCV variant. We use Monte Carlo simulation to compare the finite sample performances of the two proposed criteria to those of the AIC and its variations that use the bootstrapped log-likelihood in the class of varying dispersion beta regressions. The numerical evidence shows that the proposed model selection criteria perform well in small samples. We also present and discuss and empirical application.