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

DOI10.1016/0304-4076(93)90073-EMaRDI QIDQ1801426zbMATH OpenOpenAlexFDO

Authors 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

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

Cites work

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

Cited in

(12)

• The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion
• Testing inequality constraints in a linear regression model with spherically symmetric disturbances
• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• On the sensitivity of pre-test estimators to covariance misspecification
• 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
• The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables
• PMSE performance of two different types of preliminary test estimators under a multivariate \(t\) error term
• Estimation of a scale parameter in mixture models with unknown location
• The exact general formulas for the moments of a ridge regression estimator when the regression error terms follow a multivariate \(t\) distribution

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