pretesting

Jan R. Magnus
From The New Palgrave Dictionary of Economics, Online Edition, 2008
Edited by Steven N. Durlauf and Lawrence E. Blume
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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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How to cite this article

Magnus, Jan R. "pretesting." The New Palgrave Dictionary of Economics. Second Edition. Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008. The New Palgrave Dictionary of Economics Online. Palgrave Macmillan. 09 September 2010 <http://dictionaryofeconomics.com/article?id=pde2008_P000372> doi:10.1057/9780230226203.1887

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