Given that one-sided hypothesis tests are more powerful than their two-sided counterparts, model selection procedures that employ one-sided information should outperform those that do not. In the frequentist area of econometrics, perhaps the most popular model selection procedures are those based on estimates of the Kullback-Leibler information, Akaike’s (1973) Information Criterion (AIC) being...

background: existence or non-existence of adverse selection in insurance market is one of the important cases that have always been considered by insurers. adverse selection is one of the consequences of asymmetric information. theory of adverse selection states that high-risk individuals demand the insurance service more than low risk individuals do. methods: the presence of adverse selection ...

Although some model selection procedures boil down to testing hypotheses about parameters and choosing the best parameter or a subset of parameters, model selection is a broader inferential task. It can be nonparametric, for example. Model selection sometimes can be interpreted as an estimation problem. If the competing models are indexed by i ∈ {1, 2, . . . , m}, getting the posterior distribu...

We analyze general model selection procedures using penalized empirical loss minimization under computational constraints. While classical model selection approaches do not consider computational aspects of performing model selection, we argue that any practical model selection procedure must not only trade off estimation and approximation error, but also the computational effort required to co...