Leeb, Hannes; Pötscher, Benedikt M.; Ewald, Karl - Volkswirtschaftliche Fakultät, … - 2014
We compare several confidence intervals after model selection in the setting recently studied by Berk et al. (2013 … interval, which is constructed as if the selected model were correct and fixed a-priori (thus ignoring the presence of model … selection). Overall, we find that the actual coverage probabilities of all these intervals deviate only moderately from the …