On using the t-ratio as a diagnostic

The t-ratio has not one but two uses in econometrics, which should be carefully distinguished. It is used as a test and also as a diagnostic. I emphasize that the commonly-used estimators are in fact pretest estimators, and argue in favor of an improved (continuous) version of pretesting, called model averaging.

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Year of publication:	2019
Authors:	Magnus, Jan R.
Published in:	Econometrics. - Basel : MDPI, ISSN 2225-1146. - Vol. 7.2019, 2, p. 1-3
Publisher:	Basel : MDPI
Subject:	t-statistic \| pretest estimator \| model averaging

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/econometrics7020024 [DOI] 1668943735 [GVK] hdl:10419/247524 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012696239