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MODEL SELECTION AND INFERENCE: FACTS AND FICTION
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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Cites
Regression shrinkage and selection via the lasso
Tibshirani, R. (1996) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1996.tb02080.x · Cited by 51,482
Cited by
Dziak, J. J., Lanza, S. T., & Tan, X. (2014) · Structural Equation Modeling: A Multidisciplinary Journal · doi:10.1080/10705511.2014.919819 · Cited by 441
Pre-Event Trends in the Panel Event-Study Design
Freyaldenhoven, S., Hansen, C., & Shapiro, J. M. (2019) · American Economic Review · doi:10.1257/aer.20180609 · Cited by 427
Cluster-robust inference: A guide to empirical practice
MacKinnon, J. G., Nielsen, M. Ø., & Webb, M. D. (2023) · Journal of Econometrics · doi:10.1016/j.jeconom.2022.04.001 · Cited by 407
A re‐evaluation of fixed effect(s) meta‐analysis
Rice, K., Higgins, J. P. T., & Lumley, T. (2018) · Journal of the Royal Statistical Society Series A: Statistics in Society · doi:10.1111/rssa.12275 · Cited by 287
Schmidheiny, K., & Siegloch, S. (2023) · Journal of Applied Econometrics · doi:10.1002/jae.2971 · Cited by 293
Metadata
- Authors
- Leeb, H., & Pötscher, B. M.
- Venue
- Econometric Theory
- Publisher
- Cambridge University Press (CUP)
- Published
- 2005-02
- Volume
- 21
- Issue
- 1
- Pages
- 21-59
- ISSN
- 0266-4666 (ISSN-L)
- 1469-4360
- OpenAlex
- W2022943305
- Cited by
- 701
- References
- 1
- FWCI
- 13.42
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
