Model Selection and Inference

[1]  A. Hall,et al.  A Consistent Method for the Selection of Relevant Instruments , 2003 .

[2]  V. Corradi,et al.  Bounds for Inference with Nuisance Parameters Present Only Under the Alternative , 2002 .

[3]  Jianqing Fan,et al.  Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties , 2001 .

[4]  G. Kapetanios.  Incorporating lag order selection uncertainty in parameter inference for AR models , 2001 .

[5]  J. Sargan.  THE CHOICE BETWEEN SETS OF REGRESSORS , 2001 .

[6]  Hannes Leeb,et al.  The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations , 2000 .

[7]  A. Basu,et al.  Least squares, preliminary test and Stein‐type estimation in general vector AR(p) models , 2000 .

[8]  V. Corradi.  DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS , 1999, Econometric Theory.

[9]  Benedikt M. Pötscher,et al.  LOWER RISK BOUNDS AND PROPERTIES OF CONFIDENCE SETS FOR ILL-POSED ESTIMATION PROBLEMS WITH APPLICATIONS TO SPECTRAL DENSITY AND PERSISTENCE ESTIMATION, UNIT ROOTS, AND ESTIMATION OF LONG MEMORY PARAMETERS , 1999 .

[10]  Michael A. Saunders,et al.  Atomic Decomposition by Basis Pursuit , 1998, SIAM J. Sci. Comput..

[11]  Lutz Kilian,et al.  Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm , 1998 .

[12]  Paul Kabaila,et al.  VALID CONFIDENCE INTERVALS IN REGRESSION AFTER VARIABLE SELECTION , 1998, Econometric Theory.

[13]  A. McQuarrie,et al.  Regression and Time Series Model Selection , 1998 .

[14]  Paul Kabaila,et al.  The Effect of Model Selection on Confidence Regions and Prediction Regions , 1995, Econometric Theory.

[15]  D. Giles,et al.  PRE-TEST ESTIMATION AND TESTING IN ECONOMETRICS: RECENT DEVELOPMENTS , 1993 .

[16]  B. M. Pötscher.  Effects of Model Selection on Inference , 1991, Econometric Theory.

[17]  K. Ensor,et al.  The effect of order estimation on estimating the peak frequency of an autoregressive spectral density , 1988 .

[18]  P. Sen,et al.  On preliminary test and shrinkage m-estimation in linear models , 1987 .

[19]  D. Andrews.  Complete Consistency: A Testing Analogue of Estimator Consistency , 1986 .

[20]  P. Kempthorne.  Admissible variable-selection procedures when fitting regression models by least squares for prediction , 1984 .

[21]  R. Nishii.  Asymptotic Properties of Criteria for Selection of Variables in Multiple Regression , 1984 .

[22]  Benedikt M. Pötscher,et al.  Order Estimation in ARMA-Models by Lagrangian Multiplier Tests , 1983 .

[23]  P. Sen.  Asymptotic Properties of Maximum Likelihood Estimators Based on Conditional Specification , 1979 .

[24]  T. Söderström.  On model structure testing in system identification , 1977 .

[25]  C. Morris,et al.  Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution , 1972 .

[26]  P. Sen,et al.  Theory of rank tests , 1969 .

[27]  C. Raghavendra Rao,et al.  On model selection , 2001 .

[28]  B. M. Pötscher,et al.  The distribution of estimators after model selection:large and small sample results , 1998 .

[29]  R. Tibshirani.  Regression Shrinkage and Selection via the Lasso , 1996 .

[30]  S. E. Ahmed,et al.  A bootstrap theorem for a preliminary test estimator , 1992 .

[31]  P. Hackl,et al.  Model selection by multiple test procedures , 1988 .

[32]  Theo K. Dijkstra,et al.  Data-driven selection of regressors and the bootstrap , 1988 .

[33]  Ritei Shibata,et al.  Consistency of model selection and parameter estimation , 1986, Journal of Applied Probability.

[34]  George G. Judge,et al.  Improved methods of inference in econometrics , 1986 .

[35]  Rand R. Wilcox,et al.  The statistical implications of pre-test and Stein-rule estimators in econometrics , 1978 .

[36]  J. Hájek.  LIMITING PROPERTIES OF LIKELIHOODS AND INFERENCE. , 1970 .

[37]  E. L. Lehmann,et al.  Theory of point estimation , 1950 .