PRE‐TEST ESTIMATION AND TESTING IN ECONOMETRICS: RECENT DEVELOPMENTS
综述了计量经济建模中预检验推断的重要进展，包括预检验估计和检验，特别关注模型误设和广义回归误差下的策略，为应用计量经济学家提供实用建议。
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