The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations
In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model, has been derived. Limitations of these results are (i) that they do not provide information on the distribution of the post-model-selection estimator conditional on selecting an incorrect model, and (ii) that the quality of this asymptotic approximation to the finite-sample distribution is not uniform w.r.t. the underlying parameters. In the present paper we first obtain the unconditional as well as the conditional finite-sample distribution of the post-model-selection estimator which turns out to be complicated and difficult to interpret. Second, we obtain approximations to the finite-sample distributions that are as simple and easy to interpret as the asymptotic distributions obtained in Poetscher [Econometric Theory (1991), 7, pp 163 - 185], but at the same time are close to the finite-sample distributions uniformly w.r.t. the underlying parameters. As a by-product, we also obtain the asymptotic distribution conditional on selecting an incorrect model.
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Volume (Year): 19 (2003)
Issue (Month): 01 (February)
Pages: 100-142
| Handle: | RePEc:cup:etheor:v:19:y:2003:i:01:p:100-142_19 |
| Contact details of provider: | Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK Web page: http://journals.cambridge.org/jid_ECT Email:
|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:19:y:2003:i:01:p:100-142_19. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.