On various confidence intervals post-model-selection

Hannes Leeb (), Benedikt Pötscher and Karl Ewald

MPRA Paper from University Library of Munich, Germany

Abstract: We compare several confidence intervals after model selection in the setting recently studied by Berk et al. (2013), where the goal is to cover not the true parameter but a certain non-standard quantity of interest that depends on the selected model. In particular, we compare the PoSI-intervals that are proposed in that reference with the `naive' confidence interval, which is constructed as if the selected model were correct and fixed a-priori (thus ignoring the presence of model selection). Overall, we find that the actual coverage probabilities of all these intervals deviate only moderately from the desired nominal coverage probability. This finding is in stark contrast to several papers in the existing literature, where the goal is to cover the true parameter.

Keywords: Confidence intervals; model selection (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2014, Revised 2014
New Economics Papers: this item is included in nep-ets
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Working Paper: On various confidence intervals post-model-selection (2014)
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