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On inconsistency of Hellwig's variable choice method in regression models

100%

Bednarski T. , Borowicz F.

Discussiones Mathematicae Probability and Statistics

2009

tom 29

nr 1

41-51

It is shown that a popular variable choice method of Hellwig, which is recommended in the Polish econometric textbooks does not enjoy a very basic consistency property. It means in particular that the method may lead to rejection of significant variables in econometric modeling. A simulation study and a real data analysis case are given to support theoretical results.

Multivariate Inference in clinical trials - tests with model choice, confidence regions

60%

Läuter J. , Kropf S.

tom Vol. 22, no. 1

5-16

In the paper, the formerly introduced spherical multivariate tests are coupled with procedures for selecting the relevant variables. These procedures work in such a way that a non-relevant set of variables is chosen with the probability of significance \alfa, at most. Furthermore, a new method of the calculation of linear principal-component scores is presented, which is based only on the within-sample covariances and yields, nevertheless, a level-\alfa test in each case. This method enables us to determine novel multivariate confidence regions of the unknown mean vector. The statistical procedures are demonstrated by a neurological example.