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I am looking for references that specifically show that Akaike's Information Criterion (AIC), or its corrected form (AICc), can in some practical applications -- that is, not in the asymptotic regime -- highly underestimate the penalty for model complexity, favoring overly complex model that would then perform worse on new data; and possibly ways to detect this "failure mode" of AIC (the obvious one I can think of is cross-validation).

More generally, I am also looking for some authoritative reference, besides basic common sense, that advises against "blind model selection" -- that is, merely deciding that an hypothesis is true after comparing models with some criterion, without "predictive checks" or other forms of independent validation. Ideally, I am looking for a strong statement (e.g., something like this, perhaps a bit less graphic), with examples for why it is such a bad idea.

Any suggestion, off the top of your head?

(As you would expect, there is a massive number of questions related to AIC and model selection on this website, but I could not find something that specifically addresses my issue.)

PS: To clarify, regarding the first question, I am interested in references that talk about AIC, but it's fine if the paper discusses information criteria in general (e.g., both AIC and BIC), as long as AIC is included.

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    $\begingroup$ The book by Burnham and Anderson would give you a reference in favor of model averaging is preferable as opposed to selecting a single model (because many models will be pretty close in terms of AIC and would receive nearly identical weights). I suspect, even if cross-validation then suggests that the model with the best AIC it is just about the best model (but not by much), selecting that single model would likely still perform worse than model averaging. $\endgroup$ – Björn May 5 '16 at 16:30
  • $\begingroup$ Thanks -- I know Burnham and Anderson, but that statement is not as strong as I would like (I would like something like this). $\endgroup$ – lacerbi May 5 '16 at 16:39
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The following is not exactly what you need as it applies to any information criterion (AIC as well as BIC included), but it is still an interesting criticism of blind selection in model-rich environments.

This is from the Abstract:

The implication is that good in-sample fit translates into poor out-of-sample fit, one-to-one. The result exposes a winners curse problem when multiple models are compared in terms of their in-sample fit. The winners curse has important implications for model selection by standard information criteria such as AIC and BIC.

This is from the Introduction:

Model selection by standard information criteria, such as AIC and BIC, tend to favor models that have a large $\eta$ in the sample used for estimation. We shall refer to this as the winner's curse of model selection. The winner's curse is particularly relevant in model-rich environments where many models may have a similar expected fit when evaluated at their respective population parameters. So we will argue that standard information criteria are poorly suited for the selecting a model with a good out-of-sample fit in model-rich environments.

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  • $\begingroup$ (+1) This looks like an excellent reference, thank you. (It's okay that it attacks BIC too.) I will read and comment later. $\endgroup$ – lacerbi May 5 '16 at 19:02
  • $\begingroup$ So, this would be perfect -- it's unfortunate that it is an unfinished and unpublished manuscript (I can still cite it of course but it's not the same thing). Wonder why the author did not publish. $\endgroup$ – lacerbi May 5 '16 at 19:48
  • $\begingroup$ I read in F. X. Diebold's blog that the reason for non-publishing was that the author still needs to finish one section. (You would notice there are a couple of sections missing, actually.) But the author is of course credible and the analysis speaks for itself, I guess. $\endgroup$ – Richard Hardy May 5 '16 at 20:03

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