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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Year of publication:	2012
Authors:	Leeb, Hannes ; Pötscher, Benedikt M.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Tests in presence of nuisance parameters \| inference post model selection

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C52 - Model Evaluation and Testing ; C12 - Hypothesis Testing ; C01 - Econometrics
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011108819