The distribution of estimators after model selection:large and small sample results

DOI10.1080/00949659808811870zbMath0960.62031OpenAlexW2150469728MaRDI QIDQ4383708

Benedikt M. Pötscher, Andreas J. Novak

Publication date: 17 May 2001

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659808811870

zbMATH Keywords

model selectionAICpost-model-selection estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Post-model-selection inference in linear regression models: an integrated review ⋮ Can one estimate the conditional distribution of post-model-selection estimators? ⋮ On the harm that ignoring pretesting can cause ⋮ MODEL SELECTION AND INFERENCE: FACTS AND FICTION ⋮ The distribution of a linear predictor after model selection: conditional finite-sample distributions and asymptotic approximations ⋮ THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS ⋮ CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?

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• Asymptotic properties of maximum likelihood estimators based on conditional specification
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• Selection of the order of an autoregressive model by Akaike's information criterion
• On model structure testing in system identification
• Comments on ‘ On model structure testing in system identification’

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