CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS? (Q3632382): Difference between revisions

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+Can one estimate the conditional distribution of post-model-selection estimators?
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+Variance Estimation in a Model With Gaussian Submodels
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+On the harm that ignoring pretesting can cause
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+Model selection by multiple test procedures
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+On preliminary test and shrinkage M-estimation in linear models
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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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+Asymptotic properties of maximum likelihood estimators based on conditional specification
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+Conditional properties of statistical procedures
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+The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations
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+A bootstrap theorem for a preliminary test estimator
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+Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
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+Incorporating lag order selection uncertainty in parameter inference for AR models
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+Frequentist Model Average Estimators
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+The distribution of estimators after model selection:large and small sample results
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