THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS

DOI10.1017/S0266466603191050MaRDI QIDQ4449531zbMATH OpenOpenAlexFDO

Authors Hannes Leeb, Benedikt M. Pötscher

Publication date 11 February 2004

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603191050

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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

• Asymptotic properties of maximum likelihood estimators based on conditional specification
• The distribution of estimators after model selection:large and small sample results
• The exact distribution of a least squares regression coefficient estimator after a preliminary t-test
• The traditional pretest estimator
• Uniformity in weak convergence

Cited in

(55)

• On the distribution of the adaptive LASSO estimator
• Efficient and adaptive post-model-selection estimators
• Uniform and subuniform posterior robustness: The sample size problem. (With discussion)
• Uniform asymptotic inference and the bootstrap after model selection
• Spatial weights matrix selection and model averaging for spatial autoregressive models
• Weighted-average least squares estimation of generalized linear models
• Exact post-selection inference for the generalized Lasso path
• High-dimensional inference: confidence intervals, \(p\)-values and R-software \texttt{hdi}
• Distributional results for thresholding estimators in high-dimensional Gaussian regression models
• Multicarving for high-dimensional post-selection inference
• In defense of the indefensible: a very naïve approach to high-dimensional inference
• Post-model-selection inference in linear regression models: an integrated review
• Uniformly valid confidence intervals post-model-selection
• Distribution theory of the least squares averaging estimator
• On the impact of model selection on predictor identification and parameter inference
• Spike and slab variable selection: frequentist and Bayesian strategies
• On the harm that ignoring pretesting can cause
• Model selection strategies for identifying most relevant covariates in homoscedastic linear models
• Frequentist model averaging with missing observations
• The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations
• On various confidence intervals post-model-selection
• Variable selection in finite mixture of semi-parametric regression models
• Valid post-selection inference
• CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
• Inference after variable selection using restricted permutation methods
• Dynamic treatment regimes: technical challenges and applications
• The distribution of estimators after model selection:large and small sample results
• Asymptotic post-selection inference for the Akaike information criterion
• Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks
• Prediction/estimation with simple linear models: is it really that simple?
• Focused vector information criterion model selection and model averaging regression with missing response
• Forecasting with factor-augmented regression: a frequentist model averaging approach
• Inference after model averaging in linear regression models
• CONDITIONAL MARGINAL TEST FOR HIGH DIMENSIONAL QUANTILE REGRESSION
• Least squares model averaging by Mallows criterion
• The distribution of a linear predictor after model selection: unconditional finite-sample distributions and asymptotic approximations
• Local Model Uncertainty and Incomplete-Data Bias (With Discussion)
• AUTOMATED DISCOVERY IN ECONOMETRICS
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
• Weighted-average least squares prediction
• Confidence sets based on thresholding estimators in high-dimensional Gaussian regression models
• Bootstrapping some GLM and survival regression variable selection estimators
• Asymptotically-exact selective inference for quantile regression
• Bounded support in linear random coefficient models: identification and variable selection
• The ET interview: Benedikt M. Pötscher
• Using pilot data to size a two-arm randomized trial to find a nearly optimal personalized treatment strategy
• On testing for spatial or social network dependence in panel data allowing for network variability
• Model selection and inference for estimation of causal parameters
• Valid post-averaging inference in AR-G/GARCH models
• Conditional predictive inference post model selection
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
• Can one estimate the conditional distribution of post-model-selection estimators?
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Approximating data
• Testing regression coefficients after model selection through sign restrictions

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