Effects of Model Selection on Inference

The asymptotic properties of parameter estimators which are based on a model that has been selected by a model selection procedure are investigated. In particular, the asymptotic distribution is derived and the effects of the model selection process on subsequent inference are illustrated.

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Year of publication:	1991
Authors:	Pötscher, B.M.
Published in:	Econometric Theory. - Cambridge University Press. - Vol. 7.1991, 02, p. 163-185
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005610392