Choosing the best model
Posted: 11 Jun 2021, 18:30
Hi David and Stephane!
I would like to ask how to choose the best fit model.
1. Which one is the most reliable information criterion?
I would like to compare two MNL model. The second one is include several sociodemographic interactions, so have more parameters. I get lower log-likelihood, AIC and higher Adj. Pszeudo R^2 for the sociodemographic model. The result of likelihood-ratio test show significant improvement. However, I get higher BIC value.
I know that, BIC takes into account the number of observations.
Is this an important aspect?
It is worth to deciding and choosing between models by take into account the value of all the information criteria?
2. Can the above-mentioned information criteria only be applied when comparing with non-nested logit-type models? Can they be used to compare other models (e.g.: MNL-RPL, MNL-LC, RPL-LC) without exception?
Thank you!
David
I would like to ask how to choose the best fit model.
1. Which one is the most reliable information criterion?
I would like to compare two MNL model. The second one is include several sociodemographic interactions, so have more parameters. I get lower log-likelihood, AIC and higher Adj. Pszeudo R^2 for the sociodemographic model. The result of likelihood-ratio test show significant improvement. However, I get higher BIC value.
I know that, BIC takes into account the number of observations.
Is this an important aspect?
It is worth to deciding and choosing between models by take into account the value of all the information criteria?
2. Can the above-mentioned information criteria only be applied when comparing with non-nested logit-type models? Can they be used to compare other models (e.g.: MNL-RPL, MNL-LC, RPL-LC) without exception?
Thank you!
David