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

DOI10.1016/0304-4076(92)90091-5MaRDI QIDQ1194034zbMATH OpenOpenAlexFDO

Authors Judith A. Giles

Publication date 27 September 1992

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

Full work available at URL https://ageconsearch.umn.edu/record/262937/files/canterbury-nz-023.pdf

zbMATH Keywords

estimate of the error varianceleast squares principlemultivariate Student-\(t\) disturbancesnever-pool variance estimatorsnormal disturbancesoptimal test critical valuepre-test for homogeneityquadratic lossspherically symmetric disturbancestwo-sample linear regression modelvariance mixing distributions

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Estimation and testing in a regression model with spherically symmetric errors
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 4100407 (Why is no real title available?)
• scientific article; zbMATH DE number 3998981 (Why is no real title available?)
• scientific article; zbMATH DE number 3354336 (Why is no real title available?)
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• Invariant tests for the equality of k scale parameters under spherical symmetry
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance
• 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
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• The Mixture of Normal Distributions with Different Variances
• The sampling performance of pre-test estimators of the scale parameter under squared error loss

Cited in

(15)

• Improved variance estimation under sub-space restriction
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• On pooling disturbance variances when the goal is testing restrictions on regression coefficients
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss
• Estimation and testing in a regression model with spherically symmetric errors
• Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model
• On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function
• On risk comparisons of some estimators in a linear regression model under inagaki’S loss function and nonnormal error terms
• On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances
• scientific article; zbMATH DE number 846032 (Why is no real title available?)
• MSE performance of the 2SHI estimator in a regression model with multivariate t error terms
• Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion

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