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On Model Uncertainty and its Statistical Implications

Proceedings of a Workshop, Held in Groningen, The Netherlands, September 25–26, 1986

  • Conference proceedings
  • © 1988

Overview

Editors:
  1. Theo K. Dijkstra

    1. Institute of Econometrics, University of Groningen, Groningen, The Netherlands

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Part of the book series: Lecture Notes in Economics and Mathematical Systems (LNE, volume 307)

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Table of contents (7 papers)

  1. Front Matter

    Pages I-VII
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  2. On the Impact of Variable Selection in Fitting Regression Equations

    • D. A. Freedman, W. Navidi, S. C. Peters
    Pages 1-16

  3. Data-Driven Selection of Regressors and the Bootstrap

    • T. K. Dijkstra, J. H. Veldkamp
    Pages 17-38

  4. Autocorrelation Pre-Testing in Linear Models with AR(1) Errors

    • Henk Folmer
    Pages 39-55

  5. On Cross-Validation for Predictor Evaluation in Time Series

    • Tom A. B. Snijders
    Pages 56-69

  6. Modification of Factor Analysis Models in Covariance Structure Analysis a Monte Carlo Study

    • Thom Luijben, Anne Boomsma, Ivo W. Molenaar
    Pages 70-101

  7. Pitfalls for Forecasters

    • Ton Steerneman, Gertjan Rorijs
    Pages 102-117

  8. Model Selection in Multinomial Experiments

    • Jan de Leeuw
    Pages 118-138

  9. Back Matter

    Pages 139-141
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Keywords

About this book

In this book problems related to the choice of models in such diverse fields as regression, covariance structure, time series analysis and multinomial experiments are discussed. The emphasis is on the statistical implications for model assessment when the assessment is done with the same data that generated the model. This is a problem of long standing, notorious for its difficulty. Some contributors discuss this problem in an illuminating way. Others, and this is a truly novel feature, investigate systematically whether sample re-use methods like the bootstrap can be used to assess the quality of estimators or predictors in a reliable way given the initial model uncertainty. The book should prove to be valuable for advanced practitioners and statistical methodologists alike.

Editors and Affiliations

  • Institute of Econometrics, University of Groningen, Groningen, The Netherlands

    Theo K. Dijkstra

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