Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?
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- Leeb, Hannes & Pötscher, Benedikt M., 2008. "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, vol. 24(2), pages 338-376, April.
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.
References listed on IDEAS
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
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- Hannes Leeb, 2006. "The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations," Papers math/0611186, arXiv.org.
- Nigel Pain, 2000. "Inward investment and technical progress in the United Kingdom manufacturing sector," National Institute of Economic and Social Research (NIESR) Discussion Papers 175, National Institute of Economic and Social Research.
- Brownstone, David, 1990. "Bootstrapping improved estimators for linear regression models," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 171-187.
- Leeb, Hannes & Pötscher, Benedikt M., 2008.
"Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?,"
Econometric Theory, Cambridge University Press, vol. 24(2), pages 338-376, April.
- Hannes Leeb & Benedikt M. Potscher, 2003. "Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?," Cowles Foundation Discussion Papers 1444, Cowles Foundation for Research in Economics, Yale University.
- Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany.
- Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006.
"Time Series Analysis,"
PIER Working Paper Archive
06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
- Kapetanios, George, 2001. "Incorporating lag order selection uncertainty in parameter inference for AR models," Economics Letters, Elsevier, vol. 72(2), pages 137-144, August.
- Kabaila, Paul, 1995. "The Effect of Model Selection on Confidence Regions and Prediction Regions," Econometric Theory, Cambridge University Press, vol. 11(3), pages 537-549, June.
- Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
- 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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Keywords
Inference after model selection; Post-model-selection estimator; Pre-test estimator; Selection of regressors; Akaikeis information criterion AIC; Model uncertainty; Consistency; Uniform consistency; Lower risk bound;JEL classification:
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-12-07 (Econometrics)
- NEP-ETS-2003-12-07 (Econometric Time Series)
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