Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values

Hannes Leeb () and Benedikt Pötscher

MPRA Paper from University Library of Munich, Germany

Abstract: We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the statistics literature and show that some of the proposals in the econometrics literature lead to tests that do not have the claimed size properties.

Keywords: Tests in presence of nuisance parameters; inference post model selection (search for similar items in EconPapers)
JEL-codes: C01 C12 C52 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (5)

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https://mpra.ub.uni-muenchen.de/41459/1/MPRA_paper_41459.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/47102/1/MPRA_paper_47102.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/56276/9/MPRA_paper_56276.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41459

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