Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk

DOI10.1016/J.JECONOM.2006.07.003MaRDI QIDQ451246zbMATH OpenOpenAlexFDO

Authors Jiří Reif

Publication date 23 September 2012

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.07.003

zbMATH Keywords

linear regressionoptimalitypre-test estimator

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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• Linear regression.
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative
• On the harm that ignoring pretesting can cause
• Optimal pre-test estimators in regression
• The traditional pretest estimator

Cited in

(5)

• Optimal pre-test estimators in regression
• Optimal critical regions for pre-test estimators using a Bayes risk criterion
• The traditional pretest estimator
• scientific article; zbMATH DE number 221913 (Why is no real title available?)
• Further results on optimal critical values of pre‐test when estimating the regression error variance

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