Pitfalls of post-model-selection testing: experimental quantification

@article{Demetrescu2011PitfallsOP,
  title={Pitfalls of post-model-selection testing: experimental quantification},
  author={Matei Demetrescu and Uwe Hassler and Vladimir Kuzin},
  journal={Empirical Economics},
  year={2011},
  volume={40},
  pages={359-372}
}
Traditional specification testing does not always improve subsequent inference. We demonstrate by means of computer experiments under which circumstances, and how severely, data-driven model selection can destroy the size properties of subsequent parameter tests, if they are used without adjusting for the model-selection step. The investigated models are representative of macroeconometric and microeconometric workhorses. The model selection procedures include information criteria as well as… CONTINUE READING

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