CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?

DOI10.1017/S0266466608080158zbMath1284.62152arXiv0704.1584MaRDI QIDQ3632382

Hannes Leeb, Benedikt M. Pötscher

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1584

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

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Cites Work

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

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