PRE-TEST ESTIMATION AND TESTING IN ECONOMETRICS: RECENT DEVELOPMENTS

Abstract. This paper surveys a range of important developments in the area of preliminary-test inference in the context of econometric modelling. Both pre-test estimation and pre-test testing are discussed. Special attention is given to recent contributions and results. These include analyses of pre-test strategies under model mis-specification and generalised regression errors; exact sampling distribution results; and pre-testing inequality constraints on the model's parameters. In many cases, practical advice is given to assist applied econometricians in appraising the relative merits of pre-testing. It is shown that there are situations where pre-testing can be advantageous in practice