Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values Report as inadecuate




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Abstract

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-

Language: English-

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 SelectionC - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: GeneralC - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics-





Author: Leeb, Hannes

Source: https://mpra.ub.uni-muenchen.de/41459/







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