Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

DOI10.1016/0165-1765(94)00485-4zbMath0807.62054MaRDI QIDQ5906654

Alan T. K. Wan

Publication date: 1 March 1995

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00485-4

zbMATH Keywords

squared error loss; balanced loss function; pre-test estimators; inequality constrained least squares estimators

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

62F10: Point estimation

62C99: Statistical decision theory

Related Items

Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function, On the sensitivity of pre-test estimators to covariance misspecification, Estimating the error variance after a pre-test for an interval restriction on the coefficients, Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function, Testing inequality constraints in a linear regression model with spherically symmetric disturbances

Uses Software

• NAG
• nag

Cites Work

• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
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