Under the null of valid specification, pre-tests cannot make post-test inference liberal

Clément de Chaisemartin and Xavier D’Haultfoeuille ()
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Xavier D’Haultfoeuille: CREST-ENSAE

No 2025-03, Working Papers from Center for Research in Economics and Statistics

Abstract: Consider a parameter of interest, which can be consistently estimated under some conditions. Suppose also that we can at least partly test these conditions with specification tests. We consider the common practice of conducting inference on the parameter of interest conditional on not rejecting these tests. We show that if the tested conditions hold, conditional inference is valid, though possibly conservative. This holds generally, without imposing any assumption on the asymptotic dependence between the estimator of the parameter of interest and the specification test.

Pages: 23 pages
Date: 2025-01-24
New Economics Papers: this item is included in nep-ecm and nep-ets
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