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

DOI10.1080/03610926.2013.830750MaRDI QIDQ2807699zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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

Cited in

(4)

• MSE performance and minimax regret significance points for a HPT estimator when each individual regression coefficient is estimated
• 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
• MSE performance of a heterogeneous pre-test ridge regression estimator

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