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The Effect of Model Selection on Confidence Regions and Prediction Regions

Published online by Cambridge University Press:  11 February 2009

Paul Kabaila
Paul Kabaila
Affiliation:
La Trobe University
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Abstract

Pötscher (1991, Econometric Theory7, 163–181) has recently considered the question of how the use of a model selection procedure affects the asymptotic distribution of parameter estimators and related statistics. An important potential application of such results is to the generation of confidence regions for the parameters of interest. It is demonstrated that a great deal of care must be exercised in any attempt at such an application. We also consider the effect of model selection on prediction regions. It is demonstrated that the use of asymptotic results for the construction of prediction regions requires the same sort of care as the use of such results for the construction of confidence regions.

Type
Articles
Information
Econometric Theory , Volume 11 , Issue 3 , June 1995 , pp. 537 - 549
Copyright
Copyright © Cambridge University Press 1995

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References

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