Testing regression coefficients after model selection through sign restrictions

Following a general-to-specific modelling strategy, empirical economists sometimes delete variables with "wrong" signs from a regression equation. Such an elementary model selection step may affect subsequent inference. We determine the post-model-selection [PMS] effect analytically and numerically.

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Year of publication:	2010
Authors:	Hassler, Uwe
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 107.2010, 2, p. 220-223
Publisher:	Elsevier
Keywords:	Inequality constraints Post-model-selection tests Non-uniform convergence Size distortion

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

Persistent link: https://www.econbiz.de/10008551394