bmitchel wrote:...
Again, I acknowledge that the bootstrap would likely result in estimates of GOF and c-hat that are biased low, but isn't a biased estimate better than no estimate at all?
A biased estimator is not, in and of itself, problematic. An estimator of
unknown bias (magnitude, direction) is a problem. By and large, both are unknown (in many cases) for estimators of c (i.e., c-hat) - Gary has done a fair bit of work exploring bias with bootstrapped estimates for some models, but in general, the bootstrap (and more recently, median c-hat), are (as noted in various places) works in progress.
So, a biased estimate is not necessarily better than no estimate. Take GOF for MS models. There is the contingency approach in MS-SURVIV. There is the median c-hat, and program U-CARE. They can almost be guaranteed not to give the same estimates of c-hat, for a given set of data. So, you could, of course fight the philosphical fight of whether you're more comfortable making a type I or type II error. Most folks seem to prefer to be conservative, pick the larger c-hat, and live wth the reality that the best models will be reduced parameter models relative to what they might have selected with another (lower) c-hat.
This basic idea is also behind the other, cruder approach that has been recommended on occasion, and used on occasion: you manually adjust c-hat over a range - say, starting with 1.0, and increasing in increments of 0.25 over the range 1.0 -> 3.0, and look to see what happens to the rank order of models. If you're living lucky, the ranking of the better models won't change much.
And, finally, its worth remembering that our estimate of c is just that, an estimate (hence, c-hat). If you look at the last few pages of the GOF chapter, you see an example of this - even though the true model might have a c-hat of 1, for any given data set that is a realization of the underlying model structure might yield a c-hatquite different from the true 1.0. So, even if the c-hat estimate is unbiased, its still an estimate.