Search Results - subject:"inference after model selection"

Inference on treatment effects after selection amongst high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - 2012

simple cases with a small, fixed number of controls. Thus our method resolves the problem of uniform inference after model … selection for a large, interesting class of models. We illustrate the use of the developed methods with numerical simulations …

Persistent link: https://www.econbiz.de/10009548244

Program evaluation and causal inference with high-dimensional data

Belloni, Alexandre; Chernozhukov, Victor; … - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 233-298

Persistent link: https://www.econbiz.de/10011738490

Inference in high-dimensional panel models with an application to gun control

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 590-605

Persistent link: https://www.econbiz.de/10011692431

Inference on treatment effects after selection among high-dimensional controls

Belloni, Alexandre; Chernozhukov, Victor; Hansen, … - In: The review of economic studies 81 (2014) 2, pp. 608-650

Persistent link: https://www.econbiz.de/10010485099

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 a model selection criterion like AIC or by a hypothesis...

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 resulting from first selecting a model (e.g., by a model...

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