Selection of Regression Models under Linear Restrictions for Fixed and Random Designs

Abstract: Many important modeling tasks in linear regression, including variable selection (in which slopes of some predictors are set equal to zero) and simplified models based on sums or differences of predictors (in which slopes of those predictors are set equal to each other, or the negative of each other, respectively), can be viewed as being based on imposing linear restrictions on regression parameters. In this paper, we discuss how such models can be compared using information criteria designed to estimate predictive measures like squared error and Kullback-Leibler (KL) discrepancy, in the presence of either deterministic predictors (fixed-X) or random predictors (random-X). We extend the justifications for existing fixed-X criteria Cp, FPE and AICc, and random-X criteria Sp and RCp, to general linear restrictions. We further propose and justify a KL-based criterion, RAICc, under random-X for variable selection and general linear restrictions. We show in simulations that the use of the KL-based criteria AICc and RAICc results in better predictive performance and sparser solutions than the use of squared error-based criteria, including cross-validation.