Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity

DOI10.1016/0304-4076(91)90068-OzbMath0725.62062OpenAlexW2081906842MaRDI QIDQ2277721

Ahmet Özcam, George G. Judge

Publication date: 1991

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

Full work available at URL: https://doi.org/10.1016/0304-4076(91)90068-o

zbMATH Keywords

scale parameterssquared error lossriskheteroskedasticitytwo-sample problemlocation vectorstwo-stage pre-test estimator

Mathematics Subject Classification ID

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

Related Items

Risk behavior of a pre-test estimator for normal variance with the Stein- type estimator ⋮ The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables

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