- Date
- Thursday 27 Feb 2020, 16:00 - 17:00
- Type
- Seminar
- Spoken Language
- English
- Room
- Polak 2-22
- Building
- Polak Building
- Location
- Campus Woudestein
Researchers often use the same data to choose parameters of interest and make statistical inference on them. However, under such “double dipping” conventional confidence intervals are unreliable. We develop selective inference procedures that are valid conditional on the parameters selected by multiple hypothesis testing methods such as the Holm step-down method.
Confidence sets that have appropriate conditional coverage are constructed for both marginal and joint inference, and conditional median unbiased estimator is proposed. We also discuss how to combine the selective and conventional procedures to offer further performance gains.
Then, we apply our novel procedures to study the effects of a matching grant using data from Karlan and List (2007), and find that the conditional point estimates and confidence intervals can be very different from the conventional ones. In particular, for the application with multiple outcomes, the lower bounds obtained from our procedures are remarkably higher, suggesting an upward correction to the effects.
(Joint work with Andreas Dzemski and Wenjie Wang)
Organisors
More information
Secretariat Econometrics
room: ET-21/22
phone: +31 (0)10 408 12 59/8 1264
email: eb-secr@ese.eur.nl