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Pitfalls of post-model-selection testing: experimental quantification


  • Matei Demetrescu


  • Uwe Hassler


  • Vladimir Kuzin



No abstract is available for this item.

Suggested Citation

  • Matei Demetrescu & Uwe Hassler & Vladimir Kuzin, 2011. "Pitfalls of post-model-selection testing: experimental quantification," Empirical Economics, Springer, vol. 40(2), pages 359-372, April.
  • Handle: RePEc:spr:empeco:v:40:y:2011:i:2:p:359-372 DOI: 10.1007/s00181-009-0334-2

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    References listed on IDEAS

    1. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
    2. Leeb, Hannes & Potscher, Benedikt M., 2008. "Sparse estimators and the oracle property, or the return of Hodges' estimator," Journal of Econometrics, Elsevier, vol. 142(1), pages 201-211, January.
    3. Pötscher, Benedikt M. & Schneider, Ulrike, 2008. "Confidence sets based on penalized maximum likelihood estimators," MPRA Paper 9062, University Library of Munich, Germany.
    4. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February.
    5. King, M.L. & Giles, D.E.A., 1984. "Autocorrelation pre-testing in the linear model: Estimation, testing and prediction," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 35-48.
    6. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
    7. Breitung, Jorg & Hassler, Uwe, 2002. "Inference on the cointegration rank in fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 167-185, October.
    8. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP," Econometric Theory, Cambridge University Press, vol. 26(02), pages 426-468, April.
    9. Demetrescu, Matei & Kuzin, Vladimir & Hassler, Uwe, 2008. "Long Memory Testing In The Time Domain," Econometric Theory, Cambridge University Press, vol. 24(01), pages 176-215, February.
    10. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    11. Donald W. K. Andrews & Patrik Guggenberger, 2009. "Hybrid and Size-Corrected Subsampling Methods," Econometrica, Econometric Society, vol. 77(3), pages 721-762, May.
    12. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
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    Cited by:

    1. Uwe Hassler & Matei Demetrescu & Adina Tarcolea, 2011. "Asymptotic normal tests for integration in panels with cross-dependent units," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 95(2), pages 187-204, June.
    2. Uwe Hassler & Barbara Meller, 2014. "Detecting multiple breaks in long memory the case of U.S. inflation," Empirical Economics, Springer, vol. 46(2), pages 653-680, March.
    3. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 693-724.
    4. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    5. DiTraglia, Francis J., 2016. "Using invalid instruments on purpose: Focused moment selection and averaging for GMM," Journal of Econometrics, Elsevier, vol. 195(2), pages 187-208.
    6. Deckers, Thomas & Hanck, Christoph, 2009. "Multiple Testing Techniques in Growth Econometrics," MPRA Paper 17843, University Library of Munich, Germany.
    7. Mense, Andreas & Wirth, Benjamin, 2014. "Flat Prices, Cell Phone Base Stations, and Network Structure: An Instrumental Variable Approach to Endogenous Locations," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100618, Verein für Socialpolitik / German Economic Association.
    8. Hassler, Uwe & Rodrigues, Paulo M.M. & Rubia, Antonio, 2014. "Persistence in the banking industry: Fractional integration and breaks in memory," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 95-112.
    9. Francis J. DiTraglia, 2011. "Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM, Second Version," PIER Working Paper Archive 14-045, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2014.
    10. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
    11. Benjamin Wirth & Andreas Mense, 2014. "Flat Prices, Cell Phone Base Stations, and Network Structure," ERSA conference papers ersa14p1552, European Regional Science Association.

    More about this item


    Pre-test estimator; Model selection; Empirical size; C12; C51; C52;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection


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