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Two sources of poor coverage of confidence intervals after model selection

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  • Kabaila, Paul
  • Mainzer, Rheanna

Abstract

We compare the following two sources of poor coverage of post-model-selection confidence intervals: the preliminary data-based model selection sometimes chooses the wrong model and the data used to choose the model is re-used for the construction of the confidence interval.

Suggested Citation

  • Kabaila, Paul & Mainzer, Rheanna, 2018. "Two sources of poor coverage of confidence intervals after model selection," Statistics & Probability Letters, Elsevier, vol. 140(C), pages 185-190.
    • Handle: RePEc:eee:stapro:v:140:y:2018:i:c:p:185-190
    DOI: 10.1016/j.spl.2018.05.001
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    Cited by:

    1. Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023. "Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals," Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.

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