@inbook{10.2307/j.ctt9qf9km.16,
ISBN = {9780262028356},
URL = {http://www.jstor.org/stable/j.ctt9qf9km.16},
abstract = {One of the few settings where analytical distributions are available is 1-cut selection in a 2-variable, constant parameter, linear regression model that coincides with the DGP. Leeb and PĂ¶tscher (2003, 2005) derive the distributions of post model-selection estimators, their associated confidence intervals, and estimator biases, and establish that asymptotic derivations do not hold uniformly for local alternatives. Consequently, finite-sample behavior could differ markedly from the asymptotic distribution. We review their main results, consider some implications of their analyses, and discuss what they might entail in the realistic setting when the GUM is more general than the LDGP, as the latter},
author = {David F. Hendry and Jurgen A. Doornik},
booktitle = {Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics},
pages = {127--132},
publisher = {MIT Press},
title = {The 2-variable DGP},
year = {2014}
}