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Inference on winners

Andrews, I; Kitagawa, T; McCloskey, A; (2018) Inference on winners. (cemmap working paper 31/18). Institute for Fiscal Studies (IFS): London, UK. Green open access

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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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