Andrews, I;
Kitagawa, T;
McCloskey, A;
(2018)
Inference on winners.
(cemmap working paper
31/18).
Institute for Fiscal Studies (IFS): London, UK.
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Abstract
Many questions in econometrics can be cast as inference on a parameter selected through optimization. For example, researchers may be interested in the effectiveness of the best policy found in a randomized trial, or the bestperforming investment strategy based on historical data. Such settings give rise to a winner’s curse, where conventional estimates are biased and conventional confidence intervals are unreliable. This paper develops optimal confidence sets and median-unbiased estimators that are valid conditional on the parameter selected and so overcome this winner’s curse. If one requires validity only on average over target parameters that might have been selected, we develop hybrid procedures that combine conditional and projection confidence sets and offer further performance gains that are attractive relative to existing alternatives.
| Type: | Working / discussion paper |
|---|---|
| Title: | Inference on winners |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1920/wp.cem.2018.3118 |
| Publisher version: | https://doi.org/10.1920/wp.cem.2018.3118 |
| Language: | English |
| Additional information: | This version is the version of record. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | winner's curse, selective inference |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL SLASH UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10087224 |
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