Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances

DOI10.1016/0304-4076(93)90073-EzbMath0775.62173OpenAlexW2006356971MaRDI QIDQ1801426

Kazuhiro Ohtani, Judith A. Giles

Publication date: 18 July 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90073-e

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Parametric inference under constraints (62F30)

Related Items (12)

Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion ⋮ The Exact General Formulas for the Moments of a Ridge Regression Estimator when the Regression Error Terms Follow a MultivariatetDistribution ⋮ PMSE performance of two different types of preliminary test estimators under a multivariate t error term ⋮ The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables ⋮ The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables ⋮ On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances ⋮ Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors ⋮ ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ Estimation of a scale parameter in mixture models with unknown location ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Testing inequality constraints in a linear regression model with spherically symmetric disturbances

Cites Work

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• MSE dominance of least squares with errors-of-observation
• Pre-testing in a mis-specified regression model
• The Mixture of Normal Distributions with Different Variances
• Bounding the Effects of Proxy Variables on Regression Coefficients
• Estimation of the parameters of a regression model with a multivariate t error variable
• The Use of Proxy Variables when One or Two Independent Variables are Measured with Error
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Some sampling properties of the two-stage test in a linear regression with a proxy variable
• Relative Asymptotic Bias from Errors of Omission and Measurement
• A Note on the Use of Proxy Variables

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