The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter
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Publication:1184947
DOI10.1016/0165-1765(91)90237-FzbMath0742.62064MaRDI QIDQ1184947
Offer Lieberman, Judith A. Giles
Publication date: 28 June 1992
Published in: Economics Letters (Search for Journal in Brave)
regression error variance; choice of critical value; mini-max risk regret criterion; pre-test of exact linear restrictions
Related Items
Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric, Estimating the error variance after a pre-test for an inequality restriction on the coefficients
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Cites Work
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- 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
- Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
- Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
- On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
- Optimal Critical Values for Pre-Testing in Regression