Specification pre-test estimator

C. Gourieroux, A. Trognon

Research output: Contribution to journalArticlepeer-review

Abstract

This paper is related to the specification test introduced by J. Hausman. A specification test is often used as a first step in an estimation procedure. In the case of the linear model the biases and the mean square errors of the classical and of the specification pre-test estimators are computed and compared. It is shown that the latter is not uniformly better than the former and conversely. In the case of a four-variables model, regions in the parameters space where the specification pre-test estimator outdoes the classical one are numerically settled.

Original languageEnglish
Pages (from-to)15-27
Number of pages13
JournalJournal of Econometrics
Volume25
Issue number1-2
DOIs
Publication statusPublished - 1 Jan 1984
Externally publishedYes

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