Optimal critical regions for pre-test estimators using a Bayes risk criterion

DOI10.1016/0304-4076(84)90032-0zbMath0559.62028MaRDI QIDQ2266311

C. S. Roehrig

Publication date: 1984

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

Full work available at URL: http://hdl.handle.net/2027.42/24822

zbMATH Keywords

conjugate prior; Bayes risk; pre-test estimators; normal linear regression model; optimal critical regions

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62F15: Bayesian inference

Related Items

Pitman Closeness in Classes of General Pre-Test Estimators and Regression Estimators, Optimal pre-test estimators in regression, On the harm that ignoring pretesting can cause, Estimation of the mean of a univariate normal distribution when the variance is not known, Asymptotic risk comparisions of restricted and unrestricted maximum likelihood estimators

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• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression