More on Step-(Un)Wise Regression and Pre-Testing

I've been meaning to do a decent post on Pre-test Estimation for some time. It just hasn't happened!

The general issue of pre-testing came up in my recent post on Step-Wise Regression, (I prefer the term, "Step-Unwise Regression"). I want to add a few things to what I said there.

First, a reminder of this post from April 2013:

"Last Friday I gave a seminar in the Department of Mathematics and Statistics, here at UVic. The Statistics seminar series is always very enjoyable, and I really enjoy interacting with this friendly and capable group.

My talk was titled, "The Effects of Prior Hypothesis Testing on the Sampling Properties of Estimators and Tests: An Overview". Preliminary test ( or pre-test) estimation (& testing) was a research topic that I was heavily involved in for about a decade, from the mid 1980's to the mid 1990's. A lot of that work was done with Judith Clarke. I've been looking at some related problems again recently.

 If you're interested in this topic, you'll find the slides from my talk here."

There's nothing that I want to retract from that. Do take a look at the slides, though.

Second, here's a bibliography of the articles that I've published on pre-test estimation and pre-test testing over the years.This will give you an idea of the scope of the pre-testing literature in econometrics.

Third, if you want to look at an a bibliography of the pre-testing literature up to about 1976, then see Bancroft and Han (1977). There's a second bibliography by Han and Ravichandran (1988). It was Ted Bancroft who kicked off the pre-testing literature with a seminal piece in The Annals of Mathematical Statistics in 1944. If you want to see a survey of the pre-test literature, from an econometrics perspective, take a look at Giles and Giles (1994).

In short, there's a vast literature out there that recognizes, and documents, the consequences of pre-testing. There's new about  this - it's been around since 1944! If you use sequential testing/estimation strategies in your own work, then maybe it's time to get on top of this.


References

Bancroft, T. A., 1944. On biases in estimation due to the use of preliminary tests of  significance. Annals of Mathematical Statistics, 15, 190-204. 

Bancroft, T. A. and Han, C-P., 1977. Inference based on conditional specification: A note and a bibliography. International Statistical Review, 45, 117-127. 

Giles, J. A. and D. E. A. Giles, 1993. Pre-test estimation and testing in econometrics: Recent developments. Journal of Economic Surveys, 7, 145-197.

Han, C-P., Rao, C. V., and Ravichandran, J. (1988) Inference based on conditional specification: A second bibliography. Communications in Statistics: Theory and Methods, 17, 1945-1964.

© 2014, David E. Giles