Social and Behavioral Sciences Commons^™

Three Essays On Model Selection, Fangning Li

Legacy Theses & Dissertations (2009 - 2024)

In empirical research, we often need to address the issue of what model to use given a collection of candidate models. Conventionally, we use model selection to choose one best model from the collection of candidate models based on some model selection criteria. Model averaging is a generalization of model selection in the sense that it assigns weights to candidate models and uses a weighted average to construct an aggregated model. Usually model averaging provides better performance than model selection which chooses a single candidate model based on AIC or BIC.