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Abstract

This study investigates an application of Friedman statistic as a model selection methodology on post estimation data. The Friedman statistic is employed for testing the possible differences between related samples by ranking the data. Similarly, we suggest ranking of competing models based on a specific multiple comparison procedure for identifying differences between models. As a non-parametric test statistic, it does not make assumptions regarding the underlying distribution of data, however, this procedure may require a large dataset since it relies on post estimation comparisons.

Keywords

Model Selection Econometric Model Friedman Statistic Prediction Performance Post Estimation Data

Article Details

Author Biographies

Adil Korkmaz, Akdeniz University, Faculty of Economics and Social Sciences

Econometrics Department

Muharrem Burak ONEMLI, Kansas State University

Department of Statistics
How to Cite
Korkmaz, A., & ONEMLI, M. B. (2011). Model Selection by Friedman Statistics. Pakistan Journal of Statistics and Operation Research, 7(2-Sp). https://doi.org/10.18187/pjsor.v7i2-Sp.285