Model selection and inference:: Facts and fiction
Model selection and inference:: Facts and fiction
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DOI：
10.1017/s0266466605050036
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发表时间：
2005-02-01
影响因子：
0.8
通讯作者：
Pötscher, BM
中科院分区：
文献类型：
--
作者：
Leeb, H;Pötscher, BM
模型选择对后续推理有重要影响。忽略模型选择步骤会导致无效推理。我们讨论了数据驱动模型选择的一些复杂方面，这些方面似乎在文献中没有得到广泛的理解。我们揭穿了一些关于模型选择的神话，特别是一致的模型选择对后续推理没有渐近影响的神话。我们还讨论了一个关于模型选择后估计量的有限样本分布估计的“不可能性”结果。
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.