Scandinavian Working Papers in Economics
Working Papers in Economics,
University of Gothenburg, Department of Economics
No 851: Location Characteristics of Conditional Selective Confidence Intervals via Polyhedral Methods
Andreas Dzemski (), Ryo Okui () and Wenjie Wang ()
Additional contact information
Andreas Dzemski: Department of Economics, School of Business, Economics and Law, Göteborg University, Postal: P.O. Box 640, SE 40530 GÖTEBORG, Sweden
Ryo Okui: Faculty of Economics, the University of Tokyo
Wenjie Wang: Division of Economics, School of Social Sciences, Nanyang Technological University
Abstract: We examine the location characteristics of a conditional selective confidence interval based on the polyhedral method. This interval is constructed from the distribution of a test statistic conditional upon the event of statistical significance. In the case of a one-sided test, the behavior of the interval varies depending on whether the parameter is highly significant or only marginally significant. When the parameter is highly significant, the interval is similar to the usual confidence interval derived without considering selection. However, when the parameter is only marginally significant, the interval falls into an extreme range and deviates greatly from the estimated value of the parameter. In contrast, an interval conditional on two-sided significance does not yield extreme results, although it may exclude the estimated parameter value.
Keywords: Selective inference; statistical significance; confidence interval; polyhedral method; Multiple hypothesis testing; post-selection inference; conditional inference.
Language: English
20 pages, March 20, 2025
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