On the sensitivity of pre-test estimators to covariance misspecification

DOI10.1016/J.JSPI.2010.06.003zbMATH Open1204.62118OpenAlexW1980755138MaRDI QIDQ710783FDOQ710783

Authors: Sherry Z. F. Zhou, Huaizhen Qin, Guohua Zou 

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.06.003

Recommendations

• On the sensitivity of the restricted least squares estimators to covariance misspecification
• The sensitivity of OLS when the variance matrix is (partially) unknown
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.
• On the sensitivity of the one-sided \(t\) test to covariance misspecification

zbMATH Keywords

robustnesslinear restrictionspre-testnon-spherical disturbances

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Robust tests for spherical symmetry and their application to least squares regression
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• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification
• On the harm that ignoring pretesting can cause
• Title not available (Why is that?)
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• Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors
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• Further results on optimal critical values of pre‐test when estimating the regression error variance
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• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• On the sensitivity of the one-sided \(t\) test to covariance misspecification
• On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

Cited In (3)

• On the sensitivity of the one-sided \(t\) test to covariance misspecification
• On the sensitivity of the restricted least squares estimators to covariance misspecification
• On the sensitivity of the usual \(t\)- and \(F\)-tests to covariance misspecification

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