On the harm that ignoring pretesting can cause

DOI10.1016/j.jeconom.2003.10.018zbMath1282.91257OpenAlexW2139896753MaRDI QIDQ2439088

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.10.018

zbMATH Keywords

mean squared error model selection pretest estimator

Mathematics Subject Classification ID

Point estimation (62F10) Statistical methods; economic indices and measures (91B82)

Related Items

A model averaging approach for the ordered probit and nested logit models with applications, A comparison of two model averaging techniques with an application to growth empirics, PREDICTION/ESTIMATION WITH SIMPLE LINEAR MODELS: IS IT REALLY THAT SIMPLE?, Can one estimate the conditional distribution of post-model-selection estimators?, Best subset binary prediction, Preliminary test and estimation in some multifactor diffusion processes, Frequentist model averaging for linear mixed-effects models, Model averaging, asymptotic risk, and regressor groups, Model averaging procedure for partially linear single-index models, Estimation of a subset of regression coefficients of interest in a model with non-spherical disturbances, The generalized preliminary test estimator when different sets of stochastic restrictions are available, On weighted estimation in linear regression in the presence of parameter uncertainty, Human life is unlimited -- but short, Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market, Focused information criterion and model averaging for generalized additive partial linear models, Model averaging for varying-coefficient partially linear measurement error models, Spatial weights matrix selection and model averaging for spatial autoregressive models, A characterization of Bayesian robustness for a normal location parameter, Model averaging by jackknife criterion in models with dependent data, Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk, Parametric or nonparametric? A parametricness index for model selection, Frequentist model averaging estimation: a review, A general framework for frequentist model averaging, AUTOMATED DISCOVERY IN ECONOMETRICS, MODEL SELECTION AND INFERENCE: FACTS AND FICTION, Weighted-average least squares estimation of generalized linear models, On the sensitivity of pre-test estimators to covariance misspecification, Model averaging for semiparametric additive partial linear models, Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors, Regression with imputed covariates: a generalized missing-indicator approach, Variable selection In regression models using global sensitivity analysis, Further results on optimal critical values of pre‐test when estimating the regression error variance, CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?, An improved model averaging scheme for logistic regression, Inference after variable selection using restricted permutation methods, Model averaging estimation of generalized linear models with imputed covariates, Weighted-Average Least Squares Prediction, Optimal model averaging for divergent-dimensional Poisson regressions, Interval Estimation by Frequentist Model Averaging, The focused information criterion for varying-coefficient partially linear measurement error models

Cites Work