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EKONOMETRİK MODEL SEÇİM KRİTERLERİ ÜZERİNE KISA BIR İNCELEME

A Brief Survey Of Econometrics Model Selection Criteria

Journal Name:

  • Cumhuriyet Üniversitesi İktisadi ve İdari Bilimler Dergisi

Publication Year:

  • 2006

Key Words:

Keywords (Original Language):

Author NameUniversity of AuthorFaculty of Author
Abstract (2. Language): 
“Which variables are important?, How to select a model?” kind of questions are very important for the modeling. A good model certainly fits the well in to the data under investigation (econometrics). The econometrician and statistician would like to select most appropriate model from data sets, where there may be more than one definition of “appropriate”. Model selection criteria are one way to decide on the most appropriate model. This paper surveys briefly the different model selection criteria and compares them with each other. The analyzed model selection criteria are based on the information theory and are quite different from the usual methods based on null hypothesis testing. Information theory approaches were popular in the 1970s with the land mark Akaike Information Criteria based on the Kullback-Leibler discrepancy. Later, those approaches were diversified and such criteria as Bayes Information Criterion (BIC), Schwartz Information Criterion (SCI), and Mallow’s Cp were developed. In the paper, the resample methods (bootstrap and cross validation) were also explained in the contents of model selection criteria.
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Abstract (Original Language): 
“Hangi değişkenler önemli? , Bir model nasıl seçilir? gibi sorular modellemede çok önemlidir. İyi araştırma (ekonometrik) teknikleri altında iyi bir model kesinlikle verileri uygun tahmin eder. Birden fazla uygun model tanımlamasının bulunduğu durumlarda ekonometrisyen ve istatistikçi mevcut olan veri setinden uygun modeli seçmek ister. Model seçim kriterleride en uygun model kararının verilmesi için bir yoldur. Bu çalışma farklı model seçim kriterlerinin kısa incelemesini ve birbirleriyle karşılaştırmasını içermektedir. Analiz edilen model seçim kriterleri geleneksel hipotez testine bağlı metodlardan farklı olarak bilgi teorisine dayanmaktadır. Kullback-Leibler uyumsuzluğuna dayanan Akaike Bilgi Kriteri ile bilgi teorisi yaklaşımı 1970’lerde popülerdi. Daha sonraları bu yaklaşım Bayes Bilgi Kriteri(BIC), Schwartz Bilgi Kriteri (SIC), Mallow’un Cp kriteri gibi örneklerle çeşitlenerek gelişmiştir. Bu çalışmada ayrıca yeniden örnekleme methodlarından bootstrap ve çapraz-geçerlilik.te model seçim kriterleri içinde anlatılmıştır.
FULL TEXT (PDF): 
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  • 2
41-57
  • Turkish

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