On pooling disturbance variances when the goal is testing restrictions on regression coefficients

DOI10.1016/0304-4076(87)90025-XMaRDI QIDQ1822178zbMATH OpenFDO

Authors Kazuhiro Ohtani

Publication date 1987

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

Full work available at URL https://doi.org/10.1016/0304-4076(87)90025-X

zbMATH Keywords

pooling variancespre-test for equality of disturbance variancesregression coefficientstesting linear restrictionstwo-stage test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

Review text

We examine the problem of pooling variances from the viewpoint of testing linear restrictions on regression coefficients. That is, we examine the sampling performance of the two-stage test which consists of the pre-test for equality of disturbance variances followed by the main-test for linear restrictions on regression coefficients. It is shown that the bias in the size of the two-stage test may not be important and the two-stage test can be more powerful than the usual test which does not conduct the pre-test, if the size of the pre-test is chosen appropriately.

Recommendations

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Cites work

• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• scientific article; zbMATH DE number 3051453 (Why is no real title available?)
• Joint distribution function of certain ratios of chi-square variates
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance
• Testing equality of means after a preliminary test of equality of variances
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• Weaker Criteria and Tests for Linear Restrictions in Regression

Cited in

(6)

• Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity
• Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• scientific article; zbMATH DE number 1112445 (Why is no real title available?)
• Some sampling properties of the two-stage test in a linear regression with a proxy variable
• scientific article; zbMATH DE number 846017 (Why is no real title available?)

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