[Statlist] Next talk: Friday, October 8, 2010 with Peter Hansen (Stanford University)

[Cecilia Rey]

ETH and University of Zurich

Proff. L. Held - H.R. Kuensch - M. Maathuis - S. van de Geer

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We are glad to announce the following talk

*Friday, October 8,  2010,  15.15h  ETH HG G 19.1 *
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with * Peter Hansen* (Stanford University)


Title:
*A Winner's Curse for Econometric Models: On the Joint Distribution of 
In-Sample Fit and Out-of-Sample Fit and its Implications for Model 
Selection*

Abstract:
We consider the case where a parameter, theta, is estimated by 
maximizing a criterion function, Q(X;theta ). The estimate, thetaha t, 
is then used to evaluate the criterion function with the same data, X, 
as well as with an independent data set, Y. The in-sample fit and 
out-of-sample fit relative to that of the true, or quasi-true, 
parameter, theta*, are denoted by eta = Q(X; thetahat) - Q(X; theta*) 
and etatilde = Q(Y; thetahat) - Q(Y; theta* ), respectively. We derive 
the joint limit distribution of (eta, etatilde ) for a broad class of 
criterion functions and the joint distribution reveals that eta and 
etatilde are strongly negatively related. The implication is that good 
in-sample fit translates into poor out-of-sample fit, one-to-one.
The result exposes a winner's curse problem when multiple models are 
compared in terms of their in-sample fit. The winner's curse has 
important implications for model selection by standard information 
criteria such as AIC and BIC.

This abstract is also to be found under the following link:
http://stat.ethz.ch/talks/research_seminar

-- 
ETH Zürich
Seminar für Statistik
Cecilia Rey-Lutz, HG G10.3
Rämistrasse 101                    
CH-8092 Zurich		                      	
mail: rey using stat.math.ethz.ch    	  		
phone: +41 44 632 3438/fax: +41 44 632 1228