Search Results - subject:"POST Model"

A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models

Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative Economics 11 (2020) 3, pp. 983-1017

provide a framework for conducting uniformly valid post model selection inference for model parameters. The finite sample … performance of the nondegenerate test and that of the post model selection inference procedure are illustrated in a mean …

Persistent link: https://www.econbiz.de/10013189742

A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models

Liao, Zhipeng; Shi, Xiaoxia - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 983-1017

Persistent link: https://www.econbiz.de/10012315790

Valid confidence intervals for post-model-selection predictors

Bachoc, Francois; Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2014

We consider inference post-model-selection in linear regression. In this setting, Berk et al.(2013) recently introduced … paper, we generalize the PoSI intervals to post-model-selection predictors. …

Persistent link: https://www.econbiz.de/10011109357

Estimating and Correcting the Effects of Model Selection Uncertainty ; Estimating and Correcting the Effects of Model Selection Uncertainty

Nguefack Tsague, Georges Lucioni Edison - 2006

Persistent link: https://www.econbiz.de/10010353200

Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2012

We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for …

Persistent link: https://www.econbiz.de/10011108819

Post-l1-penalized estimators in high-dimensional linear regression models

Belloni, Alexandre; Chernozhukov, Victor - 2010

In this paper we study post-penalized estimators which apply ordinary, unpenalized linear regression to the model selected by first-step penalized estimators, typically LASSO. It is well known that LASSO can estimate the regression function at nearly the oracle rate, and is thus hard to improve...

Persistent link: https://www.econbiz.de/10010288394

Confidence Sets Based on Sparse Estimators Are Necessarily Large

Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2007

Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price in terms of the quality of the estimator. The results are set in a general parametric or semiparametric framework.

Persistent link: https://www.econbiz.de/10005014743

On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding.

Pötscher, Benedikt M.; Leeb, Hannes - Volkswirtschaftliche Fakultät, … - 2007

We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large-sample limit. The asymptotic distributions are derived for both the case where the estimators are tuned to perform consistent model selection and for the case where the estimators are...

Persistent link: https://www.econbiz.de/10005837301

Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?

Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2005

We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of … a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by … functions (e.g., predictors) of the post-model-selection estimator. …

Persistent link: https://www.econbiz.de/10005619444

Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators?

Leeb, Hannes; Potscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2003

We consider the problem of estimating the conditional distribution of a post-model-selection estimator where the … conditioning is on the selected model. The notion of a post-model-selection estimator here refers to the combined procedure … are also obtained for the conditional distribution of linear functions (e.g., predictors) of the post-model …

Persistent link: https://www.econbiz.de/10005593431