Econometric Theory: Volume 3 -

Predictive Consequences of Using Conditioning or Causal Variables
C.W.J. Granger, P. J. Thomson
Published online by Cambridge University Press:

11 February 2009, pp. 150-152
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Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.

A Remark on Magdalinos's k-Class Instrumental Variable Estimator
R. W. Farebrother
Published online by Cambridge University Press:

11 February 2009, pp. 297-298
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In this paper we identify a restriction on the finite-sample application of Magdalinos's asymptotic expansions for the t statistic based on the k-class instrumental variable estimator.

Preliminary-Test Estimation of the Error Variance in Linear Regression
Judith A. Clarke, David E. A. Giles, T. Dudley Wallace
Published online by Cambridge University Press:

11 February 2009, pp. 299-304
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We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with least squares, maximum likelihood and minimum mean squared error component estimators. Of these three criteria, the last is found to be superior (in terms of risk under quadratic loss) when pretesting in typical situations.

Contrast in Inferences Based on Sampling Distributions and Posterior Distributions–Solution
Dale J. Poirier
Published online by Cambridge University Press:

11 February 2009, pp. 464-466
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Econometric Theory