Geodesic
The traditional pretest estimator
Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 2, pp. 401-418

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We consider the problem of estimating k coefficients of interest in a linear regression model when the $(k + 1)$st coefficient is of no interest. The traditional pretest estimator is a two-step estimator of the coefficients of interest based on a t-test for the $(k + 1)$st coefficient. We study the behaviorof this estimator. Questions of admissibility, risk, and regret are addressed.
Keywords: regression analysis, model selection, biased estimation, univariate normal mean, mean squared error criterion, minimax regret. 
@article{TVP_1999_44_2_a8,
     author = {J. R. Magnus},
     title = {The traditional pretest estimator},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {401--418},
     publisher = {mathdoc},
     volume = {44},
     number = {2},
     year = {1999},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_1999_44_2_a8/}
}
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J. R. Magnus. The traditional pretest estimator. Teoriâ veroâtnostej i ee primeneniâ, Tome 44 (1999) no. 2, pp. 401-418. http://geodesic.mathdoc.fr/item/TVP_1999_44_2_a8/