Faculty of Economics and Business Administration Publications Database

Testing Regression Coefficients after Model Selection through Sign Restrictions

Volume: 107
Number: 2
Pages: 220 - 223
Month: May
ISSN-Print: 0165-1765
Link External Source: Online Version
Year: 2010
Keywords: Inequality Constraints; Post-model-selection Tests; Non-uniform Convergence; Size Distortion
Abstract: Following a general-to-specific modelling strategy, empirical economists sometimes delete variables with “wrong” signs from a regression equation. Such an elementary model selection step may affect subsequent inference. We determine the post-model-selection [PMS] effect analytically and numerically.