STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA

DOI10.1017/S026646662100044XMaRDI QIDQ6145544zbMATH OpenOpenAlexFDO

Authors Hannes Leeb, Lukas Steinberger

Publication date 9 January 2024

Published in Econometric Theory (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International

Full work available at URL https://arxiv.org/abs/1902.04304

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Abstract: We study linear subset regression in the context of the high-dimensional overall model $y=vartheta+het{a}^{\prime }z+epsilon$ with univariate response $y$ and a $d$-vector of random regressors $z$, independent of $epsilon$. Here, "high-dimensional" means that the number $d$ of available explanatory variables is much larger than the number $n$ of observations. We consider simple linear sub-models where $y$ is regressed on a set of $p$ regressors given by $x=M^{\prime }z$, for some $dimesp$ matrix $M$ of full rank $p<n$. The corresponding simple model, i.e., $$, can be justified by imposing appropriate restrictions on the unknown parameter $heta$ in the overall model; otherwise, this simple model can be grossly misspecified. In this paper, we establish asymptotic validity of the standard $F$-test on the surrogate parameter $$, in an appropriate sense, even when the simple model is misspecified.

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