Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211093 
Year of Publication: 
2018
Series/Report no.: 
cemmap working paper No. CWP73/18
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
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.
Subjects: 
Winner's Curse
Selective Inference
JEL: 
C12
C13
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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