The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Nov, 1973, Volume 41, Issue 6
https://doi.org/0012-9682(197311)41:6<1093:MRSPFA>2.0.CO;2-2
p. 1093-1101
Takamitsu Sawa, Takeshi Hiromatsu
The preliminary test estimator (or predictor) is studied in the context of linear normal regression models. The estimator (or predictor) obtained after the preliminary test is known to be inadmissible with respect to squared error loss under certain assumptions. Nevertheless, it is still widely used in practical application of regression analysis, particularly in econometrics. The object of the present paper is to tabulate the optimal significance points in the preliminary test for practical use. The optimality is based on the minimax regret principle. It is shown that if, as is usual, we take the significance point equal to the 5 per cent point or 10 per cent point, the risk is extremely large for some parameter value. The optimal significance point of the preliminary t test decreases slightly as the degrees of freedom increase,but it is nearly constant; i.e., it lies between 1.370 to 1.380 if d.f. is greater than 6.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
