Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure (Q1871564): Difference between revisions

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English	Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure	scientific article

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scholarly article

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title

Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure (English)

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zbMATH Open document ID

1014.62081

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DOI

10.1016/S0304-4076(02)00224-5

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Journal of Econometrics

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publication date

4 May 2003

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Mathematics Subject Classification ID

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entropy loss

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first-order differentiable

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Lebesgue integrable

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linear restrictions

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LINEX loss

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quadratic loss

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risk

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variance homogeneity

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MaRDI profile type

MaRDI publication profile

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cites work

On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation

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Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters

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Estimating the error variance in regression after a preliminary test of restrictions on the coefficients

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Q5341026

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Improved estimation of the disturbance variance in a linear regression model

0 references

Using simulation methods for bayesian econometric models: inference, development,and communication

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Simultaneous estimation of Poisson means under entropy loss

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Preliminary-test estimation of the scale parameter in a mis-specified regression model

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Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances

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Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances

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Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric

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Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss

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Q3185327

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Q4178373

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Q4082844

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The Traditional Pretest Estimator

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Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression

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Estimation of the variance in a normal population after the one-sided pre-test for the mean

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Estimation of regression coefficients after a preliminary test for homoscedasticity

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THE ESTIMATION OF THE LOCATION AND SCALE PARAMETERS OF A CONTINUOUS POPULATION OF ANY GIVEN FORM

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Risk behavior of variance estimators in multivariate normal distribution

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Entropy loss and risk of improved estimators for the generalized variance and precision

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Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test

0 references

Optimal Critical Values for Pre-Testing in Regression

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Q4140257

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Estimating the error variance after a pre-test for an inequality restriction on the coefficients

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Bayesian estimation of the linear regression model with an uncertain interval constraint on coefficients

0 references

Bayesian Estimation and Prediction Using Asymmetric Loss Functions

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1871564

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
+Normal rank
@@ Property / cites work @@
+Inadmissibility of the Usual Estimators of Scale parameters in Problems with Unknown Location and Scale Parameters
+Normal rank
@@ Property / cites work @@
+Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
+Normal rank
@@ Property / cites work @@
+Q5341026
@@ Property / cites work: Q5341026 / rank @@
+Normal rank
@@ Property / cites work @@
+Improved estimation of the disturbance variance in a linear regression model
+Normal rank
@@ Property / cites work @@
+Using simulation methods for bayesian econometric models: inference, development,and communication
+Normal rank
@@ Property / cites work @@
+Simultaneous estimation of Poisson means under entropy loss
+Normal rank
@@ Property / cites work @@
+Preliminary-test estimation of the scale parameter in a mis-specified regression model
+Normal rank
@@ Property / cites work @@
+Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
+Normal rank
@@ Property / cites work @@
+Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
+Normal rank
@@ Property / cites work @@
+Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
+Normal rank
@@ Property / cites work @@
+Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4178373
@@ Property / cites work: Q4178373 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4082844
@@ Property / cites work: Q4082844 / rank @@
+Normal rank
@@ Property / cites work @@
+The Traditional Pretest Estimator
@@ Property / cites work: The Traditional Pretest Estimator / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression
+Normal rank
@@ Property / cites work @@
+Estimation of the variance in a normal population after the one-sided pre-test for the mean
+Normal rank
@@ Property / cites work @@
+Estimation of regression coefficients after a preliminary test for homoscedasticity
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION OF THE LOCATION AND SCALE PARAMETERS OF A CONTINUOUS POPULATION OF ANY GIVEN FORM
+Normal rank
@@ Property / cites work @@
+Risk behavior of variance estimators in multivariate normal distribution
+Normal rank
@@ Property / cites work @@
+Entropy loss and risk of improved estimators for the generalized variance and precision
+Normal rank
@@ Property / cites work @@
+Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
+Normal rank
@@ Property / cites work @@
+Optimal Critical Values for Pre-Testing in Regression
+Normal rank
@@ Property / cites work @@
+Q4140257
@@ Property / cites work: Q4140257 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating the error variance after a pre-test for an inequality restriction on the coefficients
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of the linear regression model with an uncertain interval constraint on coefficients
+Normal rank
@@ Property / cites work @@
+Bayesian Estimation and Prediction Using Asymmetric Loss Functions
+Normal rank