Preliminary-Test Estimation in a Dynamic Linear Model

This paper considers the estimation of a dynamic linear regression model after a pretest of exact linear restrictions on the coefficient vector. Monte Carlo evidence illustrates that pre-testing can be risk-superior to both ordinary and restricted least squares.


Issue Date:
Jan 01 1993
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
14
Series Statement:
9302




 Record created 2017-09-28, last modified 2017-09-28

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