Specification pre-test estimator

Gouriéroux, Christian; Trognon, Alain

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

Type

Article accepté pour publication ou publié

Date

1984

Journal name

Journal of Econometrics

Volume

Number

1-2

Publisher

Elsevier

Pages

15-27

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 / Keywords

estimation procedure; specification test