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On the Harm that Pretesting Does
Magnus, Jan R.; Danilov, D.L. - Tilburg University, Center for Economic Research - 2001
unconditional moments of the pretest estimator, taking full account of the fact that model selection and estimation are an …
Persistent link: https://www.econbiz.de/10011090601
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Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known
Magnus, Jan R.; Danilov, D.L. - Tilburg University, Center for Economic Research - 2002
We consider the problem of estimating the first k coeffcients in a regression equation with k + 1 variables.For this problem with known variance of innovations, the neutral Laplace weighted-average least-squares estimator was introduced in Magnus (2002).We investigate properties of this...
Persistent link: https://www.econbiz.de/10011091541