Pre‐test Estimation and Testing in Econometrics: Recent Developments

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