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Citations for "Effects of Model Selection on Inference"

by Pötscher, B.M.

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  1. Okui, Ryo, 2009. "The optimal choice of moments in dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 151(1), pages 1-16, July.
  2. Cragg, John G. & Donald, Stephen G., 1997. "Inferring the rank of a matrix," Journal of Econometrics, Elsevier, Elsevier, vol. 76(1-2), pages 223-250.
  3. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, Elsevier, vol. 132(2), pages 337-362, June.
  4. Waterman, David & Weiss, Andrew A., 1996. "The effects of vertical integration between cable television systems and pay cable networks," Journal of Econometrics, Elsevier, Elsevier, vol. 72(1-2), pages 357-395.
  5. Javier Hidalgo, 2002. "Consistent Order Selection with Strongly Dependent Data and its Application to Efficient Estimation," STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE /2002/430, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  6. Hong, Han & Preston, Bruce, 2012. "Bayesian averaging, prediction and nonnested model selection," Journal of Econometrics, Elsevier, Elsevier, vol. 167(2), pages 358-369.
  7. Hidalgo, Javier, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," Journal of Econometrics, Elsevier, Elsevier, vol. 110(2), pages 213-239, October.
  8. Zaka Ratsimalahelo, 2003. "Rank Test Based On Matrix Perturbation Theory," Econometrics, EconWPA 0306008, EconWPA.
  9. Pötscher, Benedikt M. & Leeb, Hannes, 2007. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper 5615, University Library of Munich, Germany.
  10. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper, Tilburg University, Center for Economic Research 2001-37, Tilburg University, Center for Economic Research.
  11. Kapetanios, George, 2001. "Incorporating lag order selection uncertainty in parameter inference for AR models," Economics Letters, Elsevier, Elsevier, vol. 72(2), pages 137-144, August.
  12. Paruolo Paolo, 2004. "Automated Inference and the Future of Econometrics: A comment," Economics and Quantitative Methods, Department of Economics, University of Insubria qf04025, Department of Economics, University of Insubria.
  13. Kascha, Christian & Trenkler, Carsten, 2011. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(2), pages 1008-1017, February.
  14. Leeb, Hannes & P tscher, Benedikt M., 2008. "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 338-376, April.
  15. d’Artis Kancs & Julda Kielyte, 2002. "Migration in the Enlarged European Union: Empirical Evidence for Labour Mobility in the Baltic States," EERI Research Paper Series EERI_RP_2002_04, Economics and Econometrics Research Institute (EERI), Brussels.
  16. Javier Hidalgo, 2002. "Consistent order selection with strongly dependent data and its application to efficient estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 6856, London School of Economics and Political Science, LSE Library.
  17. Gernot Doppelhofer & Xavier Sala I Martin & Melvyn Weeks, 2005. "Jointness of Determinants of Economics Growth," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 54, Money Macro and Finance Research Group.
  18. Dietmar Maringer & Peter Winker, 2004. "Optimal Lag Structure Selection in VEC-Models," Computing in Economics and Finance 2004, Society for Computational Economics 155, Society for Computational Economics.
  19. Hannes Leeb & Benedikt M. Poetscher, 2005. "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
  20. Pitarakis Jean-Yves, 2006. "Model Selection Uncertainty and Detection of Threshold Effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(1), pages 1-30, March.
  21. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 6(16), pages 1-69.
  22. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, Elsevier, vol. 122(1), pages 27-46, September.
  23. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(01), pages 60-68, February.
  24. Sengupta, Sanchita & Kurkalova, Lyubov A. & Kling, Catherine L., 2006. "Avoiding biases from data-dependent specification search: an application to a tillage choice model," 2006 Annual meeting, July 23-26, Long Beach, CA, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) 21399, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  25. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(01), pages 3-20, February.
  26. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014. "On various confidence intervals post-model-selection," MPRA Paper 52858, University Library of Munich, Germany.
  27. Pu, Wenji & Niu, Xu-Feng, 2006. "Selecting mixed-effects models based on a generalized information criterion," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 97(3), pages 733-758, March.
  28. Doppelhofer, G. & Weeks, M., 2005. "Jointness of Growth Determinants," Cambridge Working Papers in Economics 0542, Faculty of Economics, University of Cambridge.
  29. Granger, Clive W. J. & King, Maxwell L. & White, Halbert, 1995. "Comments on testing economic theories and the use of model selection criteria," Journal of Econometrics, Elsevier, Elsevier, vol. 67(1), pages 173-187, May.
  30. Konstantin M. Wacker, 2011. "The Impact of Foreign Direct Investment on Developing Countries’ Terms of Trade," Working Paper Series, World Institute for Development Economic Research (UNU-WIDER) UNU-WIDER Working Paper W, World Institute for Development Economic Research (UNU-WIDER).
  31. Andrews, Donald W. K. & Lu, Biao, 2001. "Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models," Journal of Econometrics, Elsevier, Elsevier, vol. 101(1), pages 123-164, March.
  32. Pötscher, Benedikt M., 2007. "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper 5677, University Library of Munich, Germany.
  33. Donald W.K. Andrews & Biao Lu, 1999. "Consistent Model and Moment Selection Criteria for GMM Estimation with Applications to Dynamic Panel Data Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1233, Cowles Foundation for Research in Economics, Yale University.
  34. Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics, EconWPA 0004001, EconWPA.
  35. Joshua Gallin & Randal Verbrugge, 2007. "Improving the CPI’s Age-Bias Adjustment: Leverage, Disaggregation and Model Averaging," Working Papers, U.S. Bureau of Labor Statistics 411, U.S. Bureau of Labor Statistics.
  36. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, Elsevier, vol. 107(2), pages 220-223, May.
  37. Rudolf Beran, 1996. "Confidence sets centered at C p -estimators," Annals of the Institute of Statistical Mathematics, Springer, Springer, vol. 48(1), pages 1-15, March.
  38. Doran, Howard E. & Schmidt, Peter, 2006. "GMM estimators with improved finite sample properties using principal components of the weighting matrix, with an application to the dynamic panel data model," Journal of Econometrics, Elsevier, Elsevier, vol. 133(1), pages 387-409, July.
  39. Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
  40. Chen Zhuo & Yang Yuhong, 2007. "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(1), pages 56-90, March.
  41. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy.