THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL

DOI10.1111/j.1467-842X.1994.tb00884.xzbMath0829.62028MaRDI QIDQ4851465

Alan T. K. Wan

Publication date: 24 January 1996

Published in: Australian Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

squared error lossrisk functionspre-test estimatorsmis-specificationprediction vectordisturbance varianceinequality restrictionunrestricted estimation

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Point estimation (62F10)

Related Items (7)

Estimating the error variance after a pre-test for an inequality restriction on the coefficients ⋮ A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ The exact density and distribution functions of the inequality constrained and pre-test estimators ⋮ Minimum mean-squared error estimation in linear regression with an inequality constraint ⋮ Risk comparison of the inequality constrained least squares and other related estimators under balanced loss ⋮ Comparison of estimators of means based on p-samples from multivariate student-t population ⋮ On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss

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