The Effect of Model Selection on Confidence Regions and Prediction Regions
研究了模型选择过程如何影响参数估计量的渐近分布，并指出在构建置信区域和预测区域时需谨慎使用渐近结果。
Pötscher (1991, Econometric Theory 7, 163–181) has recently considered the question of how the use of a model selection procedure affects the asymptotic distribution of parameter estimators and related statistics. An important potential application of such results is to the generation of confidence regions for the parameters of interest. It is demonstrated that a great deal of care must be exercised in any attempt at such an application. We also consider the effect of model selection on prediction regions. It is demonstrated that the use of asymptotic results for the construction of prediction regions requires the same sort of care as the use of such results for the construction of confidence regions.