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Effects of Model Selection on Inference

Published online by Cambridge University Press:  11 February 2009

B.M. Pötscher
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Abstract

The asymptotic properties of parameter estimators which are based on a model that has been selected by a model selection procedure are investigated. In particular, the asymptotic distribution is derived and the effects of the model selection process on subsequent inference are illustrated.

Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 2 , June 1991 , pp. 163 - 185
Copyright
Copyright © Cambridge University Press 1991

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References

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