Leeb, Hannes; Poetscher, Benedikt M. - EconWPA - 2000
In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model, has been derived. Limitations of these results are (i) that they do not provide information on the...