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

DOI10.1016/0165-1765(89)90226-7MaRDI QIDQ902686zbMATH OpenOpenAlexFDO

Authors David E. Giles, Judith A. Clarke

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(89)90226-7

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model
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• Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
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Cites work

• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Improved estimation of the disturbance variance in a linear regression model
• Preliminary-test estimation in mis-specified regressions

Cited in

(8)

• Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
• Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model
• Asymmetric risk of the Stein variance estimator under a misspecified linear regression model
• Preliminary-test estimation in mis-specified regressions
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• Preliminary-test estimation of the standard error of estimate in linear regression
• Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.
• Estimating the error variance after a pre-test for an inequality restriction on the coefficients

Describes a project that uses

Uses Software

• AS 155

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