Hypothesis Testing and Model Choice

During the course of a scientific investigation, it is common to consider more than one model to explain or predict the phenomenon of interest. In some cases, it might be wise to cull the candidate models to a manageable number, and then use model averaging methods. However, often a scientist needs/wants to select a single model. In this chapter we consider the situation in which a scientist would like to select one of the candidate models to use for inference. Model selection shares many concepts with hypothesis testing, and so we begin this chapter with a discussion of hypothesis testing.