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Effects of Model Selection onInference

Published online by Cambridge University Press:  11 February 2009

B.M. Pötscher
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Abstract

The asymptotic properties of parameter estimators whichare based on a model that has been selected by amodel selection procedure are investigated. Inparticular, the asymptotic distribution is derivedand the effects of the model selection process onsubsequent inference are illustrated.

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Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 2 , June 1991 , pp. 163 - 185
Copyright
Copyright © Cambridge University Press 1991

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