On the harm that ignoring pretesting can cause
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 122 (2004)
Issue (Month): 1 (September)
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Web page: http://www.elsevier.com/locate/jeconom
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- Hannes Leeb & Benedikt M. Poetscher, 2000.
"The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations,"
- Leeb, Hannes & P tscher, Benedikt M., 2003. "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, vol. 19(01), pages 100-142, February.
- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
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