The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables

DOI10.1007/BF02926112zbMath0893.62070MaRDI QIDQ1370184

Kazuhiro Ohtani, Judith A. Giles

Publication date: 26 October 1997

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

omitted variablespre-test estimatorheteroscedastic linear regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10) Exact distribution theory in statistics (62E15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

The exact density and distribution functions of the inequality constrained and pre-test estimators ⋮ The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables

Cites Work

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• The exact distribution of a least squares regression coefficient estimator after a preliminary \(t\)-test
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• Some improved estimators in the case of possible heteroscedasticity
• Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• On choosing the level of significance for the goldfeld and quandt heteroskedasticity pretesting
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• The exact distribution and density functions of the stein-type estimator for normal variance

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