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On the harm that ignoring pretesting can cause

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

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4BBMV4K-3/2/66bd740727203122f04ab5b790605c7b
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 122 (2004)
Issue (Month): 1 (September)
Pages: 27-46

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Handle: RePEc:eee:econom:v:122:y:2004:i:1:p:27-46
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. 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.
  2. Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics 0004001, EconWPA.
  3. Kevin D. Hoover & Stephen J. Perez, . "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Department of Economics 97-27, California Davis - Department of Economics.
  4. 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 174-76, February.
  5. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January.
  6. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June.
  7. 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.
  8. 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.
  9. Lovell, Michael C, 1983. "Data Mining," The Review of Economics and Statistics, MIT Press, vol. 65(1), pages 1-12, February.
  10. 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.
  11. 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.
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