Exact post-selection inference for adjusted R squared selection

Abstract

Post-selection inference is developed for regression coefficients selected by the widely used model selection technique of adjusted R2. Selective inference deals with the selection aspect by conditioning inference on the model selection event. In linear models, we obtain exact post-selection inference in finite samples. Extensions to logistic regression models are discussed. A simulation study illustrates the exact type I error control, unlike classical inference. Our tests provide higher power than data splitting approaches.