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The Effect of Model Selection on Confidence Regions and Prediction Regions

Kabaila, Paul - In: Econometric Theory 11 (1995) 03, pp. 537-549

Pötscher (1991, <italic>Econometric Theory</italic>7, 163–181) has recently considered the question of how the use of a model selection procedure affects the asymptotic distribution of parameter estimators and related statistics. An important potential application of such results is to the generation of...

Persistent link: https://www.econbiz.de/10005411969

VALID CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION

Kabaila, Paul - In: Econometric Theory 14 (1998) 04, pp. 463-482

Persistent link: https://www.econbiz.de/10005104728

ON VARIABLE SELECTION IN LINEAR REGRESSION

Kabaila, Paul - In: Econometric Theory 18 (2002) 04, pp. 913-925

Persistent link: https://www.econbiz.de/10005250212

GUEST EDITORS' EDITORIAL: RECENT DEVELOPMENTS IN MODEL SELECTION AND RELATED AREAS

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 24 (2008) 02, pp. 319-322

Persistent link: https://www.econbiz.de/10005411710

CORRIGENDUM: Correction to

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 24 (2008) 02, pp. 581-583

Persistent link: https://www.econbiz.de/10005411856

PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 22 (2006) 01, pp. 69-97

Persistent link: https://www.econbiz.de/10005104677

THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 17 (2001) 04, pp. 671-685

Persistent link: https://www.econbiz.de/10005610386

CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 24 (2008) 02, pp. 338-376

Persistent link: https://www.econbiz.de/10005610471

MODEL SELECTION AND INFERENCE: FACTS AND FICTION

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 21 (2005) 01, pp. 21-59

Persistent link: https://www.econbiz.de/10005610505

THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS

Leeb, Hannes; P tscher, Benedikt M. - In: Econometric Theory 19 (2003) 01, pp. 100-142

Persistent link: https://www.econbiz.de/10005250041