Pre-test procedures and forecasting in the regression model under restrictions

DOI10.1016/0378-3758(92)90085-7zbMath0761.62093OpenAlexW1986151976MaRDI QIDQ1193990

Götz Trenkler, Helge Toutenbourg

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1016/0378-3758(92)90085-7

zbMATH Keywords

forecastingleast squares estimatorlinear restrictionsmean square error matrixpre-test estimatorsmixed estimatorpre-test forecast

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Point estimation (62F10)

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Pre-test estimation in the linear regression model with competing restrictions ⋮ Mean square error matrix comparisons of optimal and classical predictors and estimators in linear regression ⋮ In-sample tests of predictive ability: a new approach ⋮ Does modeling a structural break improve forecast accuracy? ⋮ Ordinary least squares and Stein-rule predictions in regression models under inclusion of some superfluous variables ⋮ Predictive efficiency of ridge regression estimator ⋮ Prediction of response values in linear regression models from replicated experiments ⋮ Nested forecast model comparisons: a new approach to testing equal accuracy

Cites Work

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• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression