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

DOI10.1016/S0304-4076(02)00224-5zbMath1014.62081MaRDI QIDQ1871564

Alan T. K. Wan, Guo Hua Zou

Publication date: 4 May 2003

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

zbMATH Keywords

riskLINEX lossentropy lossquadratic losslinear restrictionsLebesgue integrablefirst-order differentiablevariance homogeneity

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items

Estimating the error variance after a pre-test for an interval restriction on the coefficients ⋮ Performance of preliminary test estimators for error variance based on W, LR and LM tests ⋮ A pre-test like estimator dominating the least-squares method ⋮ Stein-type improved estimation of standard error under asymmetric LINEX loss function ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Further results on optimal critical values of pre‐test when estimating the regression error variance ⋮ Optimum Critical Value for Pre-Test Estimator ⋮ Weighted-Average Least Squares Prediction ⋮ Interval Estimation by Frequentist Model Averaging

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