The concept of sufficiency in conditional frequentist inference

We consider inference about the parameter that determines the distribution of the data. In frequentist inference a very important and useful idea is that data reduction to a sufficient statistic does not lose any information about this parameter. We recall two justifications for this idea in frequentist inference. We then examine the extent to which these justifications carry over to conditional frequentist inference inference, which consists of carrying out frequentist inference conditional on an ancillary statistic. This examination shows that, in the context of conditional frequentist inference, first reducing data to a sufficient statistic is not always justified, so we should first condition on an ancillary statistic. Finally, we describe two types of practically important statistical models that illustrate this finding.