Testing regression coefficients after model selection through sign restrictions
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.
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- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June. Full references (including those not matched with items on IDEAS)
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