Effects of Model Selection on Inference

Benedikt Pötscher

Econometric Theory, 1991, vol. 7, issue 2, 163-185

Abstract: The asymptotic properties of parameter estimators which are based on a model that has been selected by a model selection procedure are investigated. In particular, the asymptotic distribution is derived and the effects of the model selection process on subsequent inference are illustrated.

Date: 1991
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