Optimum critical value for pre-test estimator

We propose a preliminary test least squares estimator (PTLSE) based on a fixed critical value for the preliminary test (PT). We compare the performance of the proposed estimator with that of the Brook (1976) and Han and Bancroft (1968) criterion. Table and graphs of relative efficiencies are presented to support the view of using fixed critical value for the PT. It is observed that the proposed or Brook's method are conservative for fixed q, whereas that of Han and Bancroft is flexible. If the researchers are concern about the minimum guaranteed efficiency, they might select our or Brook's method. However, if they are willing to accept higher size of test and want to have higher minimum guaranteed efficiency, they should select the Han and Bancroft method.