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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

The specification of a regression model is often determined in part by testing the significance of one or more potential regressors, and then including them in the model only if they are apparently significant. This paper considers such a preliminary-test strategy in a two-regressor model when a single t-test is conducted. The exact sampling distribution of the preliminary test estimator of a regression coefficient is derived and illustrated, and some implications for confidence levels are explored.

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Handle: RePEc:ags:canzdp:262943
DOI: 10.22004/ag.econ.262943
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