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)

zbMATH Keywords

regression coefficientspooling variancespre-test for equality of disturbance variancestesting linear restrictionstwo-stage test

Mathematics Subject Classification ID

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

Recommendations

• 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
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
• Some sampling properties of the two-stage test in a linear regression with a proxy variable

Cites work

• scientific article; zbMATH DE number 3051453 (Why is no real title available?)
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• 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

(4)

• Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression
• Some sampling properties of the two-stage test in a linear regression with a proxy variable
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity

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