Estimating the error variance in regression after a preliminary test of restrictions on the coefficients

DOI10.1016/0304-4076(87)90014-5zbMath0611.62076OpenAlexW2065475633MaRDI QIDQ1087278

Judith A. Clarke, David E. A. Giles, T. Dudley Wallace

Publication date: 1987

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

Full work available at URL: http://hdl.handle.net/10161/1898

zbMATH Keywords

error variance Maximum-likelihood estimation exact linear restrictions exact risk numerical evaluation of risk function preliminary-test estimator relative quadratic loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

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