Econometrica Vol. 44 No. 2 1976
Optimal Critical Values for Pre-Testing in Regression
Abstract
In this paper we derive and present optimal critical points for pre-tests in regression using a minimum average relative risk criterion. We use the same type risk functions as Sawa and Hiromatsu [8] who, in a recent paper in this journal, derived pre-test critical values using a minimax regret criterion. Since James-Stein type estimators can be shown to dominate any pre-test estimator for the risk functions used here and in [8], no normative claims are made for the critical values we give. However, the use of pre-testing procedures continues in practice and the results given here, contrasted with other results, add to information about the character of costs and returns to such practices.
- DOI
- 10.2307/1912731
- Volume
- 44
- Issue
- 2
- Pages
- 365
- Sources
- bibtex:phds-export.bib crossref openalex