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Pelawa Watagoda, Lasanthi C. R.; Olive, David J.
Statistical papers (Berlin, Germany), 04/2021, Letnik: 62, Številka: 2Journal Article
This paper suggests a method for bootstrapping the multiple linear regression model Y = β 1 + β 2 x 2 + ⋯ + β p x p + e after variable selection. We develop asymptotic theory for some common least squares variable selection estimators such as forward selection with C p . Then hypothesis testing is done using three confidence regions, one of which is new. Theory suggests that the three confidence regions tend to have coverage at least as high as the nominal coverage if the sample size is large enough.
