Testing regression coefficients after model selection through sign restrictions

DOI10.1016/J.ECONLET.2010.01.030zbMATH Open1188.62196OpenAlexW1972395735MaRDI QIDQ974210FDOQ974210

Authors: Uwe Hassler 

Publication date: 27 May 2010

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.01.030

Recommendations

• Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values
• Inference after variable selection in linear regression models
• A further result on the sign of restricted least-squares estimates
• Significance tests in the presence of model uncertainty and specification search
• Exact post-selection inference, with application to the Lasso

zbMATH Keywords

size distortioninequality constraintsnon-uniform convergencepost-model-selection tests

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• The impact of a Hausman pretest on the asymptotic size of a hypothesis test
• Asymptotic size and a problem with subsampling and with the \(m\) out of \(n\) bootstrap
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
• A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING

Cited In (4)

• The Significance Attained by the Best-Fitting Regressor Variable
• Inference for VARs identified with sign restrictions
• Significance tests in the presence of model uncertainty and specification search
• A further result on the sign of restricted least-squares estimates

Uses Software

• PcGets

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