Arbeitspapier

Inference on winners

Many empirical questions 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 best-performing 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 to offer further performance gains relative to existing alternatives.

Language: Englisch

Bibliographic citation: Series: cemmap working paper ; No. CWP73/18

Classification: Wirtschaft
Hypothesis Testing: General
Estimation: General

Subject: Winner's Curse
Selective Inference
Statistischer Test
Schätztheorie

Event: Geistige Schöpfung

(who): Andrews, Isaiah
Kitagawa, Toru
McCloskey, Adam

Event: Veröffentlichung

(who): Centre for Microdata Methods and Practice (cemmap)

(where): London

(when): 2018

DOI: doi:10.1920/wp.cem.2018.7318

Handle: http://hdl.handle.net/10419/211093

Last update: 10.03.2025, 11:41 AM CET

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Object type

Arbeitspapier

Associated

Andrews, Isaiah
Kitagawa, Toru
McCloskey, Adam
Centre for Microdata Methods and Practice (cemmap)

Time of origin

2018

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Arbeitspapier