Specification pre-test estimator
Gouriéroux, Christian; Trognon, Alain (1984), Specification pre-test estimator, Journal of Econometrics, 25, 1-2, p. 15-27. http://dx.doi.org/10.1016/0304-4076(84)90033-2
TypeArticle accepté pour publication ou publié
Journal nameJournal of Econometrics
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Abstract (EN)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.
Subjects / Keywordsestimation procedure; specification test
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