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.)
Volume (Year): 19 (2003)
Issue (Month): 01 (February)
|Contact details of provider:|| Postal: Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK|
Web page: http://journals.cambridge.org/jid_ECT
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.
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 references are entirely missing, you can add them using this form.