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THE EFFECT OF A PRELIMINARY HAUSMAN TEST ON CONFIDENCE INTERVALS

Part of: Linear inference, regression Parametric inference

Published online by Cambridge University Press:  15 August 2018

RHEANNA MAINZER
RHEANNA MAINZER*
Affiliation:
School of Mathematics and Statistics, University of Melbourne, Parkville, VIC 3010, Australia email rheanna.mainzer@unimelb.edu.au
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Abstract

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Keywords

coverage probabilityconfidence intervalHausman specification testmodel selection

MSC classification

Primary: 62F25: Tolerance and confidence regions
Secondary: 62J05: Linear regression
Type
Abstracts of Australasian PhD Theses
Information
Bulletin of the Australian Mathematical Society , Volume 98 , Issue 3 , December 2018 , pp. 518 - 519
Copyright
© 2018 Australian Mathematical Publishing Association Inc. 

Footnotes

Thesis submitted to La Trobe University in November 2017; degree awarded on 16 April 2018; supervisors Paul Kabaila and Davide Farchione.

References

Hausman, J. A., ‘Specification tests in econometrics’, Econometrica 46 (1978), 1251–1271.Google Scholar
Kabaila, P. and Mainzer, R., ‘Two sources of poor coverage of confidence intervals after model selection’, Statist. Probab. Lett. 140 (2018), 185–190.Google Scholar
Kabaila, P., Mainzer, R. and Farchione, D., ‘The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals’, Econom. Lett. 131 (2015), 12–15.Google Scholar
Kabaila, P., Mainzer, R. and Farchione, D., ‘Conditional assessment of the impact of a Hausman pretest on confidence intervals’, Stat. Neerl. 71 (2017), 240–262.Google Scholar
Turek, D. and Fletcher, D., ‘Model-averaged Wald intervals’, Comput. Statist. Data Anal. 56 (2012), 2809–2815.Google Scholar