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

DOI10.1016/0304-4076(87)90025-XzbMATH Open0617.62079MaRDI QIDQ1822178FDOQ1822178

Authors: Kazuhiro Ohtani 

Publication date: 1987

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

Recommendations

• Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression
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• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
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• Some sampling properties of the two-stage test in a linear regression with a proxy variable

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)

Cites Work

• Title not available (Why is that?)
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• 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
• Testing equality of means after a preliminary test of equality of variances
• Weaker Criteria and Tests for Linear Restrictions in Regression
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Joint distribution function of certain ratios of chi-square variates

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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