Optimal pre-test estimators in regression

DOI10.1016/S0304-4076(02)00124-0zbMath1030.62054MaRDI QIDQ1858964

Karel Vlček, Jiří Reif

Publication date: 17 February 2003

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

zbMATH Keywords

optimalitypre-test estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Statistical decision theory (62C99)

Related Items

Stabilizing the Performance of Kurtosis Estimator of Multivariate Data ⋮ Asymptotic behaviour of regression pre-test estimators with minimal Bayes risk ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Testing and Merging Information for Effect Size Estimation ⋮ Pitman Closeness in Classes of General Pre-Test Estimators and Regression Estimators ⋮ Shrinkage estimation in replicated median ranked set sampling ⋮ On the estimation of reliabilty function in a Weibull lifetime distribution

Cites Work

• Unnamed Item
• Unnamed Item
• MSE performance of a heterogeneous pre-test estimator
• Optimal critical regions for pre-test estimators using a Bayes risk criterion
• The Traditional Pretest Estimator
• On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
• Optimal Critical Values for Pre-Testing in Regression
• Improved pretest nonparametric estimation in a multivariate regression model
• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• The non-optimality of interval restricted and pre-test estimators under squared error loss