Optimal critical regions for pre-test estimators using a Bayes risk criterion

DOI10.1016/0304-4076(84)90032-0zbMath0559.62028OpenAlexW2031808474MaRDI QIDQ2266311

C. S. Roehrig

Publication date: 1984

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

Full work available at URL: http://hdl.handle.net/2027.42/24822

zbMATH Keywords

conjugate priorBayes riskpre-test estimatorsnormal linear regression modeloptimal critical regions

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (5)

Asymptotic risk comparisions of restricted and unrestricted maximum likelihood estimators ⋮ On the harm that ignoring pretesting can cause ⋮ Pitman Closeness in Classes of General Pre-Test Estimators and Regression Estimators ⋮ Estimation of the mean of a univariate normal distribution when the variance is not known ⋮ Optimal pre-test estimators in regression

Cites Work

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• Statistical decision theory. Foundations, concepts, and methods
• Bayesian Robustness and the Stein Effect
• Optimal Critical Values for Pre-Testing in Regression
• Multicollinearity and the Mean Square Error of Alternative Estimators
• Minimax Regret Significance Points for a Preliminary Test in Regression Analysis
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression

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