Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model

DOI10.1080/03610926.2013.830750zbMATH Open1341.62229OpenAlexW2036722848MaRDI QIDQ2807699FDOQ2807699

Haifeng Xu

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.830750

zbMATH Keywords

MSE performanceomitted variablesfeasible ridge regression estimatorheterogeneous preliminary test estimatoroptimal critical value

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• MSE performance of a heterogeneous pre-test estimator
• On an adjustment of degrees of freedom in the minimim mean squared error ertimator
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
• Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted
• Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion
• Optimal Critical Values for Pre-Testing in Regression
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression
• Pre-test double \(k\)-class estimators in linear regression
• Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated

Cited In (2)

• A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model
• MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

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