Testing regression coefficients after model selection through sign restrictions

Uwe Hassler

Economics Letters, 2010, vol. 107, issue 2, pages 220-223

Abstract: Following a general-to-specific modelling strategy, empirical economists sometimes delete variables with "wrong" signs from a regression equation. Such an elementary model selection step may affect subsequent inference. We determine the post-model-selection [PMS] effect analytically and numerically.

Keywords: Inequality; constraints; Post-model-selection; tests; Non-uniform; convergence; Size; distortion (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6V84 ... 1b5954e2514adf83fbb6
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:220-223

Access Statistics for this article

Economics Letters is edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Series data maintained by Wendy Shamier ().