Selection on the basis of prior testing

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dc.contributor.author	Santos, Carlos
dc.date.accessioned	2018-07-30T11:01:44Z
dc.date.available	2018-07-30T11:01:44Z
dc.date.issued	2008
dc.description.abstract	We establish that under mild conditions, testing for the individual significance of an impulse indicator in the conditional model, selected on the basis of prior testing of its significance in the impulse saturated marginal model does not require bootstrapping critical values. Extensive Monte Carlo evidence shows that the real size of a joint F test in the conditional on the block of dummies retained from the marginal is independent of nominal size used for impulse saturation used in the marginal model. The findings are shown to hold for a plethora of dynamic models and sample sizes. Such results are fundamental not only in model selection theory, but also for the emerging class of automatically computable super exogeneity tests.	pt_PT
dc.description.version	info:eu-repo/semantics/publishedVersion	pt_PT
dc.identifier.citation	Santos, C. (2008). Selection on the basis of prior testing. Working Papers: Economics. N.º 6, 17 p.	pt_PT
dc.identifier.uri	http://hdl.handle.net/10400.14/25289
dc.language.iso	eng	pt_PT
dc.peerreviewed	no	pt_PT
dc.subject	model selection	pt_PT
dc.subject	impulse saturation	pt_PT
dc.subject	super exogeneity	pt_PT
dc.subject	bootstrapping-ping	pt_PT
dc.title	Selection on the basis of prior testing	pt_PT
dc.type	working paper
dspace.entity.type	Publication
rcaap.rights	openAccess	pt_PT
rcaap.type	workingPaper	pt_PT

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