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On the large-sample minimal coverage probability of confidence intervals after model selection

Kabaila, Paul; Leeb, Hannes - In: Journal of the American Statistical Association : JASA 101 (2006), pp. 619-629

Persistent link: https://www.econbiz.de/10003334642

On variable selection in linear regression

Kabaila, Paul - In: Econometric theory 18 (2002) 4, pp. 913-925

Persistent link: https://www.econbiz.de/10001687480

Valid confidence intervals in regression after variable selection

Kabaila, Paul - In: Econometric theory 14 (1998) 4, pp. 463-482

Persistent link: https://www.econbiz.de/10001248239

The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals

Kabaila, Paul; Mainzer, Rheanna; Farchione, Davide - In: Economics letters 131 (2015), pp. 12-15

Persistent link: https://www.econbiz.de/10011422500

Estimation risk for value-at-risk and expected shortfall

Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47

Persistent link: https://www.econbiz.de/10011847463

The Adjustment of Prediction Intervals to Account for Errors in Parameter Estimation

Kabaila, Paul; He, Zhisong - 2004

Standard approximate 1-a prediction intervals (PIs) need to be adjusted to take account of the error in estimating the parameters. This adjustment may be aimed at setting the (unconditional) probability that the PI includes the value being predicted equal to 1-a. Alternatively, this adjustment...

Persistent link: https://www.econbiz.de/10014071724

Model selection

Leeb, Hannes; Pötscher, Benedikt M. - In: Handbook of financial time series, (pp. 889-925). 2009

Persistent link: https://www.econbiz.de/10003834265

Recent developments in model selection and related areas : guest editors' editorial

Leeb, Hannes; Pötscher, Benedikt M. - In: Econometric theory 24 (2008) 2, pp. 319-322

Persistent link: https://www.econbiz.de/10003894189

Can one estimate the unconditional distribution of post-model-selection estimators?

Leeb, Hannes; Pötscher, Benedikt M. - In: Econometric theory 24 (2008) 2, pp. 338-376

Persistent link: https://www.econbiz.de/10003894196

Sparse estimators and the oracle property, or the return of Hodges' estimator

Leeb, Hannes; Pötscher, Benedikt M. - In: Journal of econometrics 142 (2008) 1, pp. 201-211

Persistent link: https://www.econbiz.de/10003608158