The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter

DOI10.1016/0165-1765(91)90237-FzbMath0742.62064OpenAlexW2041334662MaRDI QIDQ1184947

Judith A. Giles, Offer Lieberman

Publication date: 28 June 1992

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

Full work available at URL: https://doi.org/10.1016/0165-1765(91)90237-f

zbMATH Keywords

regression error variancechoice of critical valuemini-max risk regret criterionpre-test of exact linear restrictions

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (2)

Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric ⋮ Estimating the error variance after a pre-test for an inequality restriction on the coefficients

Uses Software

• AS 155

Cites Work

• 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
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Improved estimation of the disturbance variance in a linear regression model
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
• On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
• Optimal Critical Values for Pre-Testing in Regression

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