Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances

DOI10.1016/0304-4076(92)90091-5zbMath0746.62063OpenAlexW2065236084MaRDI QIDQ1194034

Judith A. Giles

Publication date: 27 September 1992

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

Full work available at URL: https://ageconsearch.umn.edu/record/262937/files/canterbury-nz-023.pdf

zbMATH Keywords

quadratic lossnormal disturbancesspherically symmetric disturbancesestimate of the error varianceleast squares principlemultivariate Student-\(t\) disturbancesnever-pool variance estimatorsoptimal test critical valuepre-test for homogeneitytwo-sample linear regression modelvariance mixing distributions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (10)

Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model ⋮ On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function ⋮ Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion ⋮ Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss ⋮ On small sample properties of zellner's estimator for the case of two sur equations with compound normal disturbances ⋮ On risk comparisons of some estimators in a linear regression model under inagaki’S loss function and nonnormal error terms ⋮ MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms ⋮ Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances ⋮ Improved variance estimation under sub-space restriction ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• Estimation and testing in a regression model with spherically symmetric errors
• 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
• Invariant tests for the equality of k scale parameters under spherical symmetry
• Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• The Mixture of Normal Distributions with Different Variances
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance

This page was built for publication: Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances