The Exact Distribution of a Least Squares Regression Coefficient Estimator After a Preliminary t-Test

David E. A. Giles and Virendra K. Srivastava

No 262943, Department of Economics Discussion Papers from University of Canterbury - New Zealand

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.

Keywords: Agribusiness; Financial Economics (search for similar items in EconPapers)
Pages: 23
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:262943

DOI: 10.22004/ag.econ.262943

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