The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function

DOI10.1080/07474939708800376zbMath0891.62045OpenAlexW2060155660MaRDI QIDQ4355149

Kazuhiro Ohtani, Judith A. Giles, David E. A. Giles

Publication date: 17 September 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939708800376

zbMATH Keywords

ordinary least squares estimatorgoodness of fitheteroskedasticitybalanced loss functionhomoskedasticitysequential estimatorpre-test estimatortwo stage Aitken estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (13)

Estimation of regression coefficients subject to exact linear restrictions when some observations are missing and quadratic error balanced loss function is used ⋮ Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function ⋮ Preliminary test and Bayes Estimation of a Location Parameter Under Blinex Loss ⋮ Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function ⋮ Matrix linear minimax estimators in a general multivariate linear model under a balanced loss function ⋮ Performance of preliminary test estimators for error variance based on W, LR and LM tests ⋮ Minimax estimator of regression coefficient in normal distribution under balanced loss function ⋮ Ridge regression methodology in partial linear models with correlated errors ⋮ All admissible linear estimators of a regression coefficient under a balanced loss function ⋮ Admissibility for linear estimators of regression coefficient in a general Gauss-Markoff model under balanced loss function ⋮ The optimal extended balanced loss function estimators ⋮ Stein-rule estimation under an extended balanced loss function ⋮ Risk comparison of improved estimators in a linear regression model with multivariate \(t\) errors under balanced loss function

Cites Work

• Estimation of regression coefficients after a preliminary test for homoscedasticity
• Some improved estimators in the case of possible heteroscedasticity
• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• On choosing the level of significance for the goldfeld and quandt heteroskedasticity pretesting
• The Heteroscedastic Linear Model: Exact Finite Sample Results
• Weighted balanced loss function and estimation of the mean time to failure

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