Leeb, Hannes and Pötscher, Benedikt M. (2012): Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values.
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We point out that the ideas underlying some test procedures recently proposed for testing post-model-selection (and for some other test problems) in the econometrics literature have been around for quite some time in the statistics literature. We also sharpen some of these results in the statistics literature and show that some of the proposals in the econometrics literature lead to tests that do not have the claimed size properties.
|Item Type:||MPRA Paper|
|Original Title:||Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values|
|Keywords:||Tests in presence of nuisance parameters; inference post model selection|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics
|Depositing User:||Benedikt Poetscher|
|Date Deposited:||24. Sep 2012 02:33|
|Last Modified:||01. Mar 2013 20:07|
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