Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model
DOI10.1080/03610928308831070zbMath0784.62056OpenAlexW2106571862MaRDI QIDQ4275775
Publication date: 20 January 1994
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://ageconsearch.umn.edu/record/263077/files/canterbury-nz-049.pdf
spherical symmetryquadratic lossscale parameterpre-test estimatorexact riskmultivariate Student-\(t\)mis-specified regression modelssimple heteroscedastic linear regression modeltwo sample linear regression model
Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10) Probabilistic methods, stochastic differential equations (65C99)
Related Items (1)
Cites Work
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- Preliminary-test estimation in mis-specified regressions
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- Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances
- Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
- Pre-testing in a mis-specified regression model
- Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables
- On Biases in Estimation Due to the Use of Preliminary Tests of Significance
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