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.
This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume.
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I am grateful to Chris Müris for preparing the figures.
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Magnus, J.R. (2008). Pretesting. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2813-1
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2813-1
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