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On Using the t -Ratio as a Diagnostic

Jan Magnus ()

Econometrics, 2019, vol. 7, issue 2, 1-3

Abstract: The t -ratio has not one but two uses in econometrics, which should be carefully distinguished. It is used as a test and also as a diagnostic. I emphasize that the commonly-used estimators are in fact pretest estimators, and argue in favor of an improved (continuous) version of pretesting, called model averaging.

Keywords: t -statistic; pretest estimator; model averaging (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2019
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