On pooling disturbance variances when the goal is testing restrictions on regression coefficients

DOI10.1016/0304-4076(87)90025-XzbMath0617.62079MaRDI QIDQ1822178

Kazuhiro Ohtani

Publication date: 1987

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

zbMATH Keywords

regression coefficientspooling variancespre-test for equality of disturbance variancestesting linear restrictionstwo-stage test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Linear inference, regression (62J99)

Related Items (2)

Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression ⋮ Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity

Cites Work

• Unnamed Item
• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
• Testing equality of means after a preliminary test of equality of variances
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• Joint distribution function of certain ratios of chi-square variates
• Weaker Criteria and Tests for Linear Restrictions in Regression
• On Biases in Estimation Due to the Use of Preliminary Tests of Significance

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