Abstract:When the dimension of covariates in the regression model is high, one usually uses a submodel as a working model that contains significant variables. But it may be highly biased and the resulting estimator of the parameter of interest may be very poor when the coefficients of removed variables are not exactly zero. In this paper, based on the selected submodel, we introduce a two-stage remodeling method to get the consistent estimator for the parameter of interest. More precisely, in the first stage, by a mult… Show more
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