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On Using the t -Ratio as a Diagnostic

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  • Jan R. Magnus

    (Department of Econometrics and Operations Research, Vrije Universiteit Amsterdam, De Boelelaan 1105, 1081 HV Amsterdam, The Netherlands)

Abstract

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.

Suggested Citation

  • Jan R. Magnus, 2019. "On Using the t -Ratio as a Diagnostic," Econometrics, MDPI, vol. 7(2), pages 1-3, May.
    • Handle: RePEc:gam:jecnmx:v:7:y:2019:i:2:p:24-:d:235466
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    References listed on IDEAS

    as
    1. Keuzenkamp, Hugo A. & Magnus, Jan R., 1995. "On tests and significance in econometrics," Journal of Econometrics, Elsevier, vol. 67(1), pages 5-24, May.
    2. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
    3. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2018. "Balanced Variable Addition In Linear Models," Journal of Economic Surveys, Wiley Blackwell, vol. 32(4), pages 1183-1200, September.
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