Two sources of poor coverage of confidence intervals after model selection

Paul Kabaila and Rheanna Mainzer

Statistics & Probability Letters, 2018, vol. 140, issue C, 185-190

Abstract: We compare the following two sources of poor coverage of post-model-selection confidence intervals: the preliminary data-based model selection sometimes chooses the wrong model and the data used to choose the model is re-used for the construction of the confidence interval.

Keywords: Coverage probability; Confidence interval; Model selection (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:140:y:2018:i:c:p:185-190

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DOI: 10.1016/j.spl.2018.05.001

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