Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values
We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the statistics literature and show that some of the proposals in the econometrics literature lead to tests that do not have the claimed size properties.
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- Hannes Leeb & Benedikt M. Poetscher, 2000.
"The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations,"
- Leeb, Hannes & P tscher, Benedikt M., 2003. "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, vol. 19(01), pages 100-142, February.
- 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.
- Francis J. DiTraglia, 2011.
"Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM,"
PIER Working Paper Archive
14-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Aug 2014.
- 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.
- Kabaila, Paul & Leeb, Hannes, 2006. "On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 619-629, June.
- Donald W. K. Andrews & Patrik Guggenberger, 2009. "Hybrid and Size-Corrected Subsampling Methods," Econometrica, Econometric Society, vol. 77(3), pages 721-762, 05.
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