Model selection bias and Freedman's paradox

Paul M. Lukacs, Kenneth P. Burnham, David R. Anderson

Research output: Contribution to journalArticlepeer-review

244 Scopus citations

Abstract

In situations where limited knowledge of a system exists and the ratio of data points to variables is small, variable selection methods can often be misleading. Freedman (Am Stat 37:152-155, 1983) demonstrated how common it is to select completely unrelated variables as highly "significant" when the number of data points is similar in magnitude to the number of variables. A new type of model averaging estimator based on model selection with Akaike's AIC is used with linear regression to investigate the problems of likely inclusion of spurious effects and model selection bias, the bias introduced while using the data to select a single seemingly "best" model from a (often large) set of models employing many predictor variables. The new model averaging estimator helps reduce these problems and provides confidence interval coverage at the nominal level while traditional stepwise selection has poor inferential properties.

Original languageEnglish
Pages (from-to)117-125
Number of pages9
JournalAnnals of the Institute of Statistical Mathematics
Volume62
Issue number1
DOIs
StatePublished - Feb 2010

Keywords

  • Akaike's information criterion
  • Confidence interval coverage
  • Freedman's paradox
  • Model averaging
  • Model selection bias
  • Model selection uncertainty
  • Multimodel inference
  • Stepwise selection

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