Testing regression coefficients after model selection through sign restrictions

Uwe Hassler

Economics Letters, 2010, vol. 107, issue 2, 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
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:2:p:220-223

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