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Valid Confidence Intervals In Regression After Variable Selection

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  • Kabaila, Paul

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  • Kabaila, Paul, 1998. "Valid Confidence Intervals In Regression After Variable Selection," Econometric Theory, Cambridge University Press, vol. 14(04), pages 463-482, August.
  • Handle: RePEc:cup:etheor:v:14:y:1998:i:04:p:463-482_14
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    Cited by:

    1. 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.
    2. Liu, Chu-An, 2012. "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper 41414, University Library of Munich, Germany.
    3. McCloskey, Adam, 2017. "Bonferroni-based size-correction for nonstandard testing problems," Journal of Econometrics, Elsevier, vol. 200(1), pages 17-35.
    4. Leeb, Hannes & Pötscher, Benedikt M. & Ewald, Karl, 2014. "On various confidence intervals post-model-selection," MPRA Paper 52858, University Library of Munich, Germany.
    5. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
    6. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
    7. Farchione, David & Kabaila, Paul, 2008. "Confidence intervals for the normal mean utilizing prior information," Statistics & Probability Letters, Elsevier, vol. 78(9), pages 1094-1100, July.
    8. Pötscher, Benedikt M., 2007. "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper 5677, University Library of Munich, Germany.
    9. 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.
    10. 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.
    11. 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.
    12. Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.

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