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Pre-test Estimation and Testing in Econometrics: Recent Developments

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  • 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

Suggested Citation

  • Giles, Judith A & Giles, David E A, 1993. " Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-197, June.
  • Handle: RePEc:bla:jecsur:v:7:y:1993:i:2:p:145-97
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    Cited by:

    1. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Discussion Paper 2012-043, Tilburg University, Center for Economic Research.
    2. 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.
    3. 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.
    4. Reif, Jiri, 2007. "Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk," Journal of Econometrics, Elsevier, vol. 140(2), pages 413-424, October.
    5. 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," Annals of Economics and Statistics, GENES, issue 87-88, pages 11-38.
    6. 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.
    7. Lauren Bin Dong, 2004. "The Behrens-Fisher Problem: An Empirical Likelihood Ratio Approach," Econometrics Working Papers 0404, Department of Economics, University of Victoria.
    8. 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.
    9. Reif, Jiri & Vlcek, Karel, 2002. "Optimal pre-test estimators in regression," Journal of Econometrics, Elsevier, vol. 110(1), pages 91-102, September.
    10. Guggenberger, Patrik, 2010. "The impact of a Hausman pretest on the size of a hypothesis test: The panel data case," Journal of Econometrics, Elsevier, vol. 156(2), pages 337-343, June.
    11. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
    12. 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.
    13. Hurmekoski, Elias & Hetemäki, Lauri & Linden, Mika, 2015. "Factors affecting sawnwood consumption in Europe," Forest Policy and Economics, Elsevier, vol. 50(C), pages 236-248.
    14. Judith Anne Clarke, 2017. "Model Averaging OLS and 2SLS: An Application of the WALS Procedure," Econometrics Working Papers 1701, Department of Economics, University of Victoria.
    15. 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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