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...

We consider the following question: "Is there a confidence upper limit with given minimum coverage properties which is better than all other confidence upper limits with the given minimum coverage properties?". We prove that for discrete data this question is answered in the negative when...

Consider X1,X2,...,Xn that are independent and identically N([mu],[sigma]2) distributed. Suppose that we have uncertain prior information that [mu]=0. We answer the question: To what extent can a frequentist 1-[alpha] confidence interval for [mu] utilize this prior information?

We adopt the frequentist approach to statistical inference together with a recognition of the validity of conditional inference as described by Cox (1958). We describe a type of model which shows clearly the nature of a form of information which may be lost due to basing inference solely on a...

We present a new and simple method for constructing a 1-[alpha] upper confidence limit for [theta] in the presence of a nuisance parameter vector [psi], when the data is discrete. Our method is based on computing a P-value P{T[less-than-or-equals, slant]t} from an estimator T of [theta],...

We consider exact confidence limits obtained from discrete data by inverting a hypothesis test based on a studentized test statistic. We show that these confidence limits (a) are nesting and (b) have greater large sample efficiency than Buehler confidence limits that are required to be nesting.

Consider a two-treatment, two-period crossover trial, with responses that are continuous random variables. We find a large-sample frequentist 1-[alpha] confidence interval for the treatment difference that utilizes the uncertain prior information that there is no differential carryover effect.

Consider the reliability problem of finding a 1-[alpha] upper (lower) confidence limit for [theta] the probability of system failure (non-failure), based on binomial data on the probability of failure of each component of the system. The Buehler 1-[alpha] confidence limit is usually based on an...