Optimal Critical Values for Pre-Testing in Regression
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Publication:4131494
DOI10.2307/1912731zbMath0359.62084OpenAlexW2133691370MaRDI QIDQ4131494
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Publication date: 1976
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10161/1871
Related Items (16)
MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator ⋮ Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression ⋮ Edgeworth-adjusting test statistics for ar(1) errors ⋮ Estimation of regression coefficients after a preliminary test for homoscedasticity ⋮ Mixed regression estimator under misspecification ⋮ The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter ⋮ Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated ⋮ On estimating the common mean in two normal distributions after a preliminary test for equality of variances ⋮ Optimal critical regions for pre-test estimators using a Bayes risk criterion ⋮ On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative ⋮ Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated ⋮ Optimal significance levels of prior tests in the presence of multicollinearity ⋮ Weighted-Average Least Squares Prediction ⋮ Optimal pre-test estimators in regression ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
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