The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd


  • Jan R. Magnus
Reference work entry


This article briefly discusses the meaning and dangers of pretesting in estimation procedures. It outlines the proof of the equivalence theorem, and compares the pretest estimator with three other estimators: the ‘usual’ estimator, the ‘silly’ estimator and the ‘Laplace’ estimator.


Estimation Model selection Pretesting 

JEL Classifications

C12 C13 
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I am grateful to Chris Müris for preparing the figures.


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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jan R. Magnus
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