Effects of Model Selection on Inference
- 1 June 1991
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 7 (2) , 163-185
- https://doi.org/10.1017/s0266466600004382
Abstract
The asymptotic properties of parameter estimators which are based on a model that has been selected by a model selection procedure are investigated. In particular, the asymptotic distribution is derived and the effects of the model selection process on subsequent inference are illustrated.Keywords
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