On pooling disturbance variances when the goal is testing restrictions on regression coefficients
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Publication:1822178
DOI10.1016/0304-4076(87)90025-XzbMath0617.62079MaRDI QIDQ1822178
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
regression coefficientspooling variancespre-test for equality of disturbance variancestesting linear restrictionstwo-stage test
Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Linear inference, regression (62J99)
Related Items (2)
Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression ⋮ Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity
Cites Work
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- The sampling performance of pre-test estimators of the scale parameter under squared error loss
- Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
- Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
- Testing equality of means after a preliminary test of equality of variances
- Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
- Joint distribution function of certain ratios of chi-square variates
- Weaker Criteria and Tests for Linear Restrictions in Regression
- On Biases in Estimation Due to the Use of Preliminary Tests of Significance
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