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The exact distribution of a least squares regression coefficient estimator after a preliminary t-test

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  • Giles, David E. A.
  • Srivastava, Virendra K.

Abstract

Determining the specification of a regression model according to the regressors' significance leads to a pre-test strategy. The exact sampling distribution of such a preliminary-test estimator is derived in this paper.

Suggested Citation

  • Giles, David E. A. & Srivastava, Virendra K., 1993. "The exact distribution of a least squares regression coefficient estimator after a preliminary t-test," Statistics & Probability Letters, Elsevier, vol. 16(1), pages 59-64, January.
    • Handle: RePEc:eee:stapro:v:16:y:1993:i:1:p:59-64
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    Citations

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    Cited by:

    1. 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.
    2. V. Srivastava & H. Toutenburg, 2005. "On the first order regression procedure of estimation for incomplete regression models," Statistical Papers, Springer, vol. 46(2), pages 303-307, April.
    3. Sue-Fen Huang & Ching-Hsue Cheng, 2013. "GMADM-based attributes selection method in developing prediction model," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(6), pages 3335-3347, October.
    4. 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.
    5. Paul Kabaila, 2009. "The Coverage Properties of Confidence Regions After Model Selection," International Statistical Review, International Statistical Institute, vol. 77(3), pages 405-414, December.

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