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Pre-test Estimation and Testing in Econometrics: Recent Developments

Judith A Giles and David Giles ()
Authors registered in the RePEc Author Service: Judith Anne Clarke ()

Journal of Economic Surveys, 1993, vol. 7, issue 2, 145-97

Abstract: This paper surveys a range of important developments in the area of preliminary-test inference in the context of econometric modeling. Both pre-test estimation and pre-test testing are discussed. Special attention is given to recent contributions and results. These include analyses of pre-test strategies under model misspecification and generalized regression errors; exact sampling distribution results; and pre-testing inequality constraints on the model's parameters. In many cases, practical advice is given to assist applied econometricians in appraising the relative merits of pre-testing. It is shown that there are situations where pre-testing can be advantageous in practice. Copyright 1993 by Blackwell Publishers Ltd

Date: 1993
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