On the sensitivity of pre-test estimators to covariance misspecification

DOI10.1016/J.JSPI.2010.06.003MaRDI QIDQ710783zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

linear restrictionsnon-spherical disturbancespre-testrobustness

Mathematics Subject Classification ID

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

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Cites work

• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors
• Estimation of the mean of a univariate normal distribution with known variance
• Exact distribution of a pre-test estimator for regression error variance when there are omitted variables.
• Further results on optimal critical values of pre‐test when estimating the regression error variance
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• Least squares model averaging by Mallows criterion
• On the harm that ignoring pretesting can cause
• ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS
• On the Robustness of LM, LR, and W Tests in Regression Models
• On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss
• 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
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression
• Optimal pre-test estimators in regression
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
• Robust tests for spherical symmetry and their application to least squares regression
• Robustness of Stein-type estimators under a non-scalar error covariance structure
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
• The sensitivity of OLS when the variance matrix is (partially) unknown
• The traditional pretest estimator

Cited in

(4)

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

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