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Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk

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  • Reif, Jiri

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  • Reif, Jiri, 2007. "Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk," Journal of Econometrics, Elsevier, vol. 140(2), pages 413-424, October.
    • Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:413-424
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    References listed on IDEAS

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    1. Griffiths, William & Dao, Dan, 1980. "A note on a Bayesian estimator in an autocorrelated error model," Journal of Econometrics, Elsevier, vol. 12(3), pages 389-392, April.
    2. Reif, Jiri & Vlcek, Karel, 2002. "Optimal pre-test estimators in regression," Journal of Econometrics, Elsevier, vol. 110(1), pages 91-102, September.
    3. Leamer, Edward E., 1983. "Model choice and specification analysis," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 5, pages 285-330, Elsevier.
    4. Fomby, Thomas B. & Guilkey, David K., 1978. "On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative," Journal of Econometrics, Elsevier, vol. 8(2), pages 203-213, October.
    5. Jan R. Magnus, 2002. "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 225-236, June.
    6. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
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