Some sampling properties of the two-stage test in a linear regression with a proxy variable

DOI10.1080/03610928708829398zbMath0614.62067OpenAlexW1998060405MaRDI QIDQ4721417

Kazuhiro Ohtani

Publication date: 1987

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928708829398

zbMATH Keywords

pre-testproxy variablesignificance levelunobservable variabletwo-stage test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Testing the disturbance variance after a pre-test for a linear hypothesis on coefficients in a linear regression ⋮ Parameter Estimation when Various Models are Available ⋮ Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables ⋮ Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances

Cites Work

• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• A note on the use of a proxy variable in testing hypothesis
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• On the use of a proxy variable in the test for homoscedasticity
• MSE dominance of least squares with errors-of-observation
• Some Properties of Tests for Specification Error in a Linear Regression Model
• Non-Optimality of Preliminary-Test Estimators for the Mean of a Multivariate Normal Distribution
• Relative Asymptotic Bias from Errors of Omission and Measurement
• A Note on the Use of Proxy Variables

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