Pre-test estimation in regression under absolute error loss

DOI10.1016/0165-1765(93)90202-NzbMath0784.62055MaRDI QIDQ1311288

David E. A. Giles

Publication date: 23 January 1994

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

zbMATH Keywords

ordinary least squaresrisk dominancerisksabsolute error losspre-test estimatorsrestricted least squaresquadric loss counterparts

Mathematics Subject Classification ID

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

Related Items (3)

Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss ⋮ Further results on optimal critical values of pre‐test when estimating the regression error variance ⋮ The exact risks of some pre-test and stein-type regression estimators umder balanced loss

Uses Software

• SHAZAM

Cites Work

• Discriminating between autoregressive forms. A Monte Carlo comparison of Bayesian and ad hoc methods
• Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric
• Unnamed Item
• Unnamed Item

This page was built for publication: Pre-test estimation in regression under absolute error loss