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On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection

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  • Kabaila, Paul
  • Leeb, Hannes

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  • 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.
  • Handle: RePEc:bes:jnlasa:v:101:y:2006:p:619-629
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    Citations

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    Cited by:

    1. Paul Kabaila, 2009. "The Coverage Properties of Confidence Regions After Model Selection," International Statistical Review, International Statistical Institute, vol. 77(3), pages 405-414, December.
    2. Haiying Wang & Yang Li & Jianguo Sun, 2015. "Focused and Model Average Estimation for Regression Analysis of Panel Count Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(3), pages 732-745, September.
    3. Kabaila, Paul & Giri, Khageswor, 2009. "Large-sample confidence intervals for the treatment difference in a two-period crossover trial, utilizing prior information," Statistics & Probability Letters, Elsevier, vol. 79(5), pages 652-658, March.
    4. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014. "On various confidence intervals post-model-selection," MPRA Paper 58326, University Library of Munich, Germany, revised 2014.
    5. Schomaker, Michael & Heumann, Christian, 2014. "Model selection and model averaging after multiple imputation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 758-770.
    6. Paul Kabaila & A. H. Welsh & Waruni Abeysekera, 2016. "Model-Averaged Confidence Intervals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 35-48, March.
    7. repec:spr:compst:v:32:y:2017:i:2:d:10.1007_s00180-016-0690-2 is not listed on IDEAS
    8. Erica E. M. Moodie & Thomas S. Richardson, 2010. "Estimating Optimal Dynamic Regimes: Correcting Bias under the Null," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 37(1), pages 126-146.
    9. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    10. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    11. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(02), pages 404-447, April.
    12. Bachoc, Francois & Leeb, Hannes & Pötscher, Benedikt M., 2014. "Valid confidence intervals for post-model-selection predictors," MPRA Paper 60643, University Library of Munich, Germany.
    13. Ganggang Xu & Suojin Wang & Jianhua Z. Huang, 2014. "Focused information criterion and model averaging based on weighted composite quantile regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 365-381, June.
    14. Pötscher, Benedikt M., 2007. "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper 5677, University Library of Munich, Germany.
    15. Leeb, Hannes & Pötscher, Benedikt M., 2012. "Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values," MPRA Paper 41459, University Library of Munich, Germany.

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