Monday, July 21, 2014

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: