MODEL SELECTION AND INFERENCE: FACTS AND FICTION (Q5697622): Difference between revisions

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+On the harm that ignoring pretesting can cause
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+Atomic Decomposition by Basis Pursuit
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+Consistent covariate selection and post model selection inference in semiparametric regression.
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+A bootstrap theorem for a preliminary test estimator
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+Model selection by multiple test procedures
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+Complete Consistency: A Testing Analogue of Estimator Consistency
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+Asymptotics for Lasso-type estimators.
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+Strong rules for detecting the number of breaks in a time series
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+Bounds for inference with nuisance parameters present only under the alternative
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+Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
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+Least squares, preliminary test and Stein‐type estimation in general vector <i>AR</i>(<i>p</i>) models
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+Admissible variable-selection procedures when fitting regression models by least squares for prediction
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+Incorporating lag order selection uncertainty in parameter inference for AR models
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+On model structure testing in system identification
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+On preliminary test and shrinkage M-estimation in linear models
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+Asymptotic properties of maximum likelihood estimators based on conditional specification
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+Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
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+THE CHOICE BETWEEN SETS OF REGRESSORS
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+The distribution of estimators after model selection:large and small sample results
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+Frequentist Model Average Estimators
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+Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
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+Consistent order selection with strongly dependent data and its application to efficient estimation.
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+A Consistent Method for the Selection of Relevant Instruments
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+Order estimation in ARMA-models by Lagrangian multiplier tests
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+Asymptotic properties of criteria for selection of variables in multiple regression
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+A Statistical View of Some Chemometrics Regression Tools
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+The effect of order estimation on estimating the peak frequency of an autoregressive spectral density
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