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Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

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  • Leeb, Hannes
  • Pötscher, Benedikt M.

Abstract

We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the statistics literature and show that some of the proposals in the econometrics literature lead to tests that do not have the claimed size properties.

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File URL: http://mpra.ub.uni-muenchen.de/47102/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41459.

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Date of creation: 2012
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Handle: RePEc:pra:mprapa:41459

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Keywords: Tests in presence of nuisance parameters; inference post model selection;

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References

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  1. Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics 0004001, EconWPA.
  2. Kabaila, Paul & Leeb, Hannes, 2006. "On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 619-629, June.
  3. Donald W. K. Andrews & Patrik Guggenberger, 2009. "Hybrid and Size-Corrected Subsampling Methods," Econometrica, Econometric Society, vol. 77(3), pages 721-762, 05.
  4. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
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Cited by:
  1. Adam McCloskey, 2012. "Bonferroni-Based Size-Correction for Nonstandard Testing Problems," Working Papers 2012-16, Brown University, Department of Economics.

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