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Related Experiment Videos

Comparing non-nested regression models

P Royston1, S G Thompson

  • 1Medical Statistics Unit, Royal Postgraduate Medical School, London, England.

Biometrics
|March 1, 1995
PubMed
Summary
This summary is machine-generated.

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This study introduces a novel statistical method for comparing non-nested regression models. The approach uses an artificial supermodel to test model fit, simplifying complex comparisons for researchers.

Area of Science:

  • Statistics
  • Econometrics
  • Regression Analysis

Background:

  • Comparing non-nested statistical models is challenging.
  • Existing methods may lack generality or computational simplicity.

Purpose of the Study:

  • To develop a robust method for comparing the fits of two non-nested models.
  • To extend existing model comparison techniques for broader applicability.

Main Methods:

  • A novel approach based on Davidson and MacKinnon (1981) is developed.
  • An artificial 'supermodel' is constructed, encompassing both individual models.
  • Fitted values from individual models are used in an approximate supermodel for estimation and hypothesis testing.

Main Results:

Related Experiment Videos

  • The proposed test simplifies to the standard F test for nested linear models.
  • Calculations primarily involve linear regression through the origin.
  • The method is extended to address bias in maximum likelihood estimation.
  • Conclusions:

    • The developed method provides a computationally straightforward way to compare non-nested regression models.
    • The technique is applicable to both linear and nonlinear regression with normal errors.
    • The study illustrates the method's utility with two real-world datasets.