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Pre-test Estimation and Testing in Econometrics: Recent Developments

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Author Info

  • Giles, Judith A
  • Giles, David E A

Abstract

This paper surveys a range of important developments in the area of preliminary-test inference in the context of econometric modeling. Both pre-test estimation and pre-test testing are discussed. Special attention is given to recent contributions and results. These include analyses of pre-test strategies under model misspecification and generalized regression errors; exact sampling distribution results; and pre-testing inequality constraints on the model's parameters. In many cases, practical advice is given to assist applied econometricians in appraising the relative merits of pre-testing. It is shown that there are situations where pre-testing can be advantageous in practice. Copyright 1993 by Blackwell Publishers Ltd

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Journal of Economic Surveys.

Volume (Year): 7 (1993)
Issue (Month): 2 (June)
Pages: 145-97

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Handle: RePEc:bla:jecsur:v:7:y:1993:i:2:p:145-97

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0950-0804

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Cited by:
  1. Lauren Bin Dong, 2004. "Testing for structural Change in Regression: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0405, Department of Economics, University of Victoria.
  2. Clarke, Judith A., 2008. "On weighted estimation in linear regression in the presence of parameter uncertainty," Economics Letters, Elsevier, vol. 100(1), pages 1-3, July.
  3. Badi H. Baltagi & Peter Egger & Michael Pfaffermayr, 2007. "A Monte Carlo Study for Pure and Pretest Estimators of a Panel Data Model with Spatially Autocorrelated Disturbances," Center for Policy Research Working Papers 98, Center for Policy Research, Maxwell School, Syracuse University.
  4. Noriah Al-Kandari & Sana Buhamra & S. E. Ahmed, 2007. "Testing and Merging Information for Effect Size Estimation," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 47-60.
  5. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
  6. Lauren Bin Dong, 2004. "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0404, Department of Economics, University of Victoria.
  7. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Discussion Paper 2012-043, Tilburg University, Center for Economic Research.
  8. Danilov, D.L. & Magnus, J.R., 2002. "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper 2002-77, Tilburg University, Center for Economic Research.
  9. Banerjee, A.N., 1997. "The Sensitivity of Estimates, Inferences and Forecasts of Linear Models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-74329, Tilburg University.
  10. David E. A. Giles, 2000. "Preliminary-Test and Bayes Estimation of a Location Parameter Under 'Reflected Normal' Loss," Econometrics Working Papers 0004, Department of Economics, University of Victoria.
  11. S. K. Sapra, 2003. "Pre-test estimation in Poisson regression model," Applied Economics Letters, Taylor & Francis Journals, vol. 10(9), pages 541-543.

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