Some sampling properties of the two-stage test in a linear regression with a proxy variable

DOI10.1080/03610928708829398zbMath0614.62067MaRDI QIDQ4721417

Kazuhiro Ohtani

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1080/03610928708829398

zbMATH Keywords

pre-test; proxy variable; significance level; unobservable variable; two-stage test

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

Related Items

Parameter Estimation when Various Models are Available, Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables, Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances, Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression

Cites Work

• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• A note on the use of a proxy variable in testing hypothesis
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• On the use of a proxy variable in the test for homoscedasticity
• MSE dominance of least squares with errors-of-observation
• Some Properties of Tests for Specification Error in a Linear Regression Model
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Relative Asymptotic Bias from Errors of Omission and Measurement
• A Note on the Use of Proxy Variables