“…In recent years, many of the standard results in the pre‐test literature have been reconsidered in the context of different loss functions. Some examples using absolute error loss, LINEX loss and balanced loss include the contributions of Giles (1993), Giles and Giles (1993b), Wan (1994a), Ohtani et al (1997), among others 2 . In a recent article, Wan and Zou (2003) proved a general result which suggests that for certain pre‐testing problems, the same critical value may be optimal for all first‐order differentiable loss functions provided that a mild technical condition is satisfied.…”