The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Pretesting

  • Jan R. Magnus
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2813

Abstract

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.

Keywords

Estimation Model selection Pretesting 

JEL Classifications

C12 C13 
This is a preview of subscription content, log in to check access.

Notes

Acknowledgments

I am grateful to Chris Müris for preparing the figures.

Bibliography

  1. Bancroft, T.A. 1944. On biases in estimation due to the use of preliminary tests of significance. Annals of Mathematical Statistics 15: 190–204.CrossRefGoogle Scholar
  2. Bancroft, T.A. 1964. Analysis and inference for incompletely specified models involving the use of preliminary tests of significance. Biometrics 20: 427–442.CrossRefGoogle Scholar
  3. Bock, M.E., G.G. Judge, and T.A. Yancey. 1973a. Some comments on estimation in regression after preliminary tests of significance. Journal of Econometrics 1: 191–200.CrossRefGoogle Scholar
  4. Bock, M.E., T.A. Yancey, and G.G. Judge. 1973b. The statistical consequences of preliminary test estimators in regression. Journal of the American Statistical Association 68: 109–116.CrossRefGoogle Scholar
  5. Cohen, A. 1965. Estimates of linear combinations of the parameters in the mean vector of a multivariate distribution. Annals of Mathematical Statistics 36: 78–87.CrossRefGoogle Scholar
  6. Danilov, D., and J.R. Magnus. 2004a. On the harm that ignoring pretesting can cause. Journal of Econometrics 122: 27–46.CrossRefGoogle Scholar
  7. Danilov, D., and J.R. Magnus. 2004b. Forecast accuracy after pretesting with an application to the stock market. Journal of Forecasting 23: 251–274.CrossRefGoogle Scholar
  8. Friedman, M. 1940. Review of Jan Tinbergen, Statistical Testing of Business Cycle Theories, II: Business Cycles in the United States of America. American Economic Review 30: 657–661.Google Scholar
  9. Giles, J.A., and D.E.A. Giles. 1993. Pre-test estimation and testing in econometrics: Recent developments. Journal of Economic Surveys 7: 145–197.CrossRefGoogle Scholar
  10. Haavelmo, T. 1944. The probability approach in econometrics. Econometrica 12(Suppl): 1–115.Google Scholar
  11. Huntsberger, D.V. 1955. A generalization of a preliminary testing procedure for pooling data. Annals of Mathematical Statistics 26: 734–743.CrossRefGoogle Scholar
  12. Judge, G.G., and M.E. Bock. 1978. The statistical implications of pre-test and Stein-Rule Estimators in econometrics. Amsterdam: North-Holland.Google Scholar
  13. Judge, G.G., and M. E. Bock. 1983. Biased estimation. In Handbook of econometrics, Vol. 1, ed. Griliches Z. and M. D. Intriligator. Amsterdam: North-Holland, Chapter 10.Google Scholar
  14. Judge, G.G., and T.A. Yancey. 1986. Improved methods of inference in econometrics. Amsterdam: North-Holland.Google Scholar
  15. Keynes, J.M. 1939. Professor Tinbergen’s method. Economic Journal 49: 558–568.CrossRefGoogle Scholar
  16. Koopmans, T. 1949. Identification problems in economic model construction. Econometrica 17: 125–144.CrossRefGoogle Scholar
  17. Larson, H.J., and T.A. Bancroft. 1963. Biases in prediction by regression for certain incompletely specified models. Biometrika 50: 391–402.CrossRefGoogle Scholar
  18. Magnus, J.R. 1999. The traditional pretest estimator. Theory of Probability and Its Applications 44: 293–308.CrossRefGoogle Scholar
  19. Magnus, J.R. 2002. Estimation of the mean of a univariate normal distribution with known variance. Econometrics Journal 5: 225–236.CrossRefGoogle Scholar
  20. Magnus, J.R., and J. Durbin. 1999. Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica 67: 639–643.CrossRefGoogle Scholar
  21. Sclove, S.L., C. Morris, and R. Radhakrishnan. 1972. Non-optimality of preliminarytest estimators for the mean of a multivariate normal distribution. Annals of Mathematical Statistics 43: 1481–1490.CrossRefGoogle Scholar
  22. Tinbergen, J. 1939. Statistical testing of business cycle theories. Vol. 2. Geneva: League of Nations.Google Scholar
  23. Wallace, T.D., and V.G. Ashtar. 1972. Sequential methods in model construction. The Review of Economics and Statistics 54: 172–178.CrossRefGoogle Scholar

Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Jan R. Magnus
    • 1
  1. 1.