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Pretesting

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The New Palgrave Dictionary of Economics

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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.

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Acknowledgments

I am grateful to Chris Müris for preparing the figures.

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Authors and Affiliations

  1. http://link.springer.com/referencework/10.1057/978-1-349-95121-5

    Jan R. Magnus

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  1. Jan R. Magnus
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© 2018 Macmillan Publishers Ltd.

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Magnus, J.R. (2018). Pretesting. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2813

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