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Testing regression coefficients after model selection through sign restrictions

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  • Hassler, Uwe

Abstract

Following a general-to-specific modelling strategy, empirical economists sometimes delete variables with "wrong" signs from a regression equation. Such an elementary model selection step may affect subsequent inference. We determine the post-model-selection [PMS] effect analytically and numerically.

Suggested Citation

  • Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    • Handle: RePEc:eee:ecolet:v:107:y:2010:i:2:p:220-223
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    References listed on IDEAS

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