On weighted estimation in linear regression in the presence of parameter uncertainty

Judith A. Clarke

Economics Letters, 2008, vol. 100, issue 1, pages 1-3

Abstract: We examine the problem of estimating the linear regression model's coefficients when there are uncertain linear restrictions about these parameters. Theorems are provided that generalize results obtained by Magnus and Durbin [Magnus, J.R., Durbin, J., 1999. Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica 67, 639-643] and Danilov and Magnus [Danilov, D., Magnus, J.R., 2004. On the harm that ignoring pretesting can cause. Journal of Econometrics 122, 27-46].

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