Communication in Statistics- Theory and Methods · 2010 · 81 citations · 17 references
ComputingEconomicsFinanceEconometricsFinancial EconometricsFinancial EconomicsAsset Return ModelingBayesian InferenceInferential StatisticsModel ComparisonModel SelectionStatistical InferenceBayesian Model SelectionCrude Oil MarketsCrude Oil PricingDeviance Information CriterionModel ChoiceModel Comparison CriteriaPredictive Model SelectionProbit Regression
Monte Carlo experiments are conducted to compare the Bayesian and sample theory model selection criteria in choosing the univariate probit and logit models. We use five criteria: the deviance information criterion (DIC), predictive deviance information criterion (PDIC), Akaike information criterion (AIC), weighted, and unweighted sums of squared errors. The first two criteria are Bayesian while the others are sample theory criteria. The results show that if data are balanced none of the model selection criteria considered in this article can distinguish the probit and logit models. If data are unbalanced and the sample size is large the DIC and AIC choose the correct models better than the other criteria. We show that if unbalanced binary data are generated by a leptokurtic distribution the logit model is preferred over the probit model. The probit model is preferred if unbalanced data are generated by a platykurtic distribution. We apply the model selection criteria to the probit and logit models that link the ups and downs of the returns on S&P500 to the crude oil price.
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Markov Chains for Exploring Posterior Distributions
Luke Tierney · The Annals of Statistics · 1994 · 3.5K citations · Full text