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Empirical Model Discovery and Theory EvaluationAutomatic Selection Methods in Econometrics$
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David F. Hendry and Jurgen A. Doornik

Print publication date: 2014

Print ISBN-13: 9780262028356

Published to MIT Press Scholarship Online: January 2015

DOI: 10.7551/mitpress/9780262028356.001.0001

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The 2-variable DGP

The 2-variable DGP

(p.127) 9 The 2-variable DGP
Empirical Model Discovery and Theory Evaluation

David F. Hendry

The MIT Press

One of the few settings where analytical distributions are available is 1-cut selection in a 2-variable, constant parameter, linear regression model that coincides with the DGP. Leeb and Pötscher (2003, 2005) derive the distributions of post model-selection estimators, their associated confidence intervals, and estimator biases, and establish that asymptotic derivations do not hold uniformly for local alternatives. Consequently, finite-sample behavior could differ markedly from the asymptotic distribution. We review their main results, consider some implications of their analyses, and discuss what they might entail in the realistic setting when the GUM is more general than the LDGP, as the latter is unknown, so model discovery remains an issue.

Keywords:   Post-model-selection estimators, non-uniform convergence, analytical derivations

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