THE EFFECT OF A PRELIMINARY HAUSMAN TEST ON CONFIDENCE INTERVALS

DOI10.1017/S0004972718000655zbMath1402.62049WikidataQ129392845 ScholiaQ129392845MaRDI QIDQ4559281

Rheanna Mainzer

Publication date: 3 December 2018

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

model selectionconfidence intervalcoverage probabilityHausman specification test

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Linear regression; mixed models (62J05)

Cites Work

• Model-averaged Wald confidence intervals
• The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals
• Two sources of poor coverage of confidence intervals after model selection
• Specification Tests in Econometrics
• Conditional assessment of the impact of a Hausman pretest on confidence intervals