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MODEL SELECTION AND INFERENCE: FACTS AND FICTION

Published online by Cambridge University Press:  08 February 2005

Hannes Leeb  and
Benedikt M. Pötscher
Hannes Leeb
Affiliation:
Yale University
Benedikt M. Pötscher
Affiliation:
University of Vienna
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Abstract

Model selection has an important impact on subsequent inference. Ignoring the model selection step leads to invalid inference. We discuss some intricate aspects of data-driven model selection that do not seem to have been widely appreciated in the literature. We debunk some myths about model selection, in particular the myth that consistent model selection has no effect on subsequent inference asymptotically. We also discuss an “impossibility” result regarding the estimation of the finite-sample distribution of post-model-selection estimators.

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Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 1 , February 2005 , pp. 21 - 59
Copyright
© 2005 Cambridge University Press

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