Regression model selection via log‐likelihood ratio and constrained minimum criterion

Abstract Although log‐likelihood is widely used in model selection, the log‐likelihood ratio has had few applications in this area. We develop a log‐likelihood ratio based method for selecting regression models by focusing on the set of models deemed plausible by the likelihood ratio test. We show that when the sample size is large and the significance level of the test is small, there is a high probability that the smallest model in this set is the true model; thus, we select this smallest model. The significance level of the test serves as a tuning parameter of this method. We consider three levels of this parameter in a simulation study and compare this method with the Akaike information criterion (AIC) and Bayesian information criterion (BIC) to demonstrate its excellent accuracy and adaptability to different sample sizes. This method is a frequentist alternative and a strong competitor to AIC and BIC for selecting regression models.