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On the harm that ignoring pretesting can cause

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  • Danilov, Dmitry
  • Magnus, J.R.Jan R.

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  • Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
  • Handle: RePEc:eee:econom:v:122:y:2004:i:1:p:27-46
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    References listed on IDEAS

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    1. Roehrig, C.S., 1984. "Optimal critical regions for pre-test estimators using a Bayes risk criterion," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 3-14.
    2. Jan R. Magnus & J. Durbin, 1999. "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, vol. 67(3), pages 639-644, May.
    3. Kevin D. Hoover & Stephen J. Perez, 1999. "Data mining reconsidered: encompassing and the general-to-specific approach to specification search," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 167-191.
    4. Judge, G.G. & Bock, M.E., 1983. "Biased estimation," Handbook of Econometrics,in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 10, pages 599-649 Elsevier.
    5. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
    6. Thomson, Michael & Schmidt, Peter, 1982. "A Note on the Comparison of the Mean Square Error of Inequality Constrained Least Squares and Other Related Estimators," The Review of Economics and Statistics, MIT Press, vol. 64(1), pages 174-176, February.
    7. Jan R. Magnus, 2002. "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 225-236, June.
    8. Leeb, Hannes & P tscher, Benedikt M., 2003. "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, vol. 19(01), pages 100-142, February.
    9. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
    10. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January.
    11. Mittelhammer, R.C., 1984. "Restricted least squares, pre-test, ols and stein rule estimators: Risk comparisons under model misspecification," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 151-164.
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