The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function

DOI10.1080/07474939708800376zbMATH Open0891.62045OpenAlexW2060155660MaRDI QIDQ4355149FDOQ4355149

Authors: Kazuhiro Ohtani, David E. Giles, Judith A. Giles 

Publication date: 17 September 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800376

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zbMATH Keywords

heteroskedasticityordinary least squares estimatorbalanced loss functionhomoskedasticitygoodness of fitsequential estimatorpre-test estimatortwo stage Aitken estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

• Weighted balanced loss function and estimation of the mean time to failure
• Estimation of regression coefficients after a preliminary test for homoscedasticity
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• Some improved estimators in the case of possible heteroscedasticity
• On choosing the level of significance for the goldfeld and quandt heteroskedasticity pretesting

Cited In (16)

• Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function
• Admissibility for linear estimators of regression coefficient in a general Gauss-Markoff model under balanced loss function
• Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function
• Minimax estimator of regression coefficient in normal distribution under balanced loss function
• Performance of preliminary test estimators for error variance based on W, LR and LM tests
• Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function
• Pre-test estimation in regression under absolute error loss
• Stein-rule estimation under an extended balanced loss function
• Performance of Preliminary Test Estimator Under Linex Loss Function
• All admissible linear estimators of a regression coefficient under a balanced loss function
• Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function
• Estimation of regression coefficients subject to exact linear restrictions when some observations are missing and quadratic error balanced loss function is used
• Preliminary test and Bayes Estimation of a Location Parameter Under Blinex Loss
• Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated
• The optimal extended balanced loss function estimators
• Ridge regression methodology in partial linear models with correlated errors

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