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.
KeywordsEstimation Model selection Pretesting
JEL ClassificationsC12 C13
I am grateful to Chris Müris for preparing the figures.
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