Preliminary-Test Estimation in a Dynamic Linear Model

David E. A. Giles and Matthew C. Cunneen

No 263714, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper considers the estimation of a dynamic linear regression model after a pretest of exact linear restrictions on the coefficient vector. Monte Carlo evidence illustrates that pre-testing can be risk-superior to both ordinary and restricted least squares.

Keywords: Research and Development/Tech Change/Emerging Technologies; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 14
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263714

DOI: 10.22004/ag.econ.263714

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