Further results on optimal critical values of pre‐test when estimating the regression error variance

DOI10.1111/j.1368-423X.2006.00180.xzbMath1088.62086MaRDI QIDQ5469923

Kazuhiro Ohtani, Alan T. K. Wan, Guo Hua Zou

Publication date: 26 May 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

LINEX lossentropy lossinequality constraintLebesgue integrablefirst-order differentiableregression variance

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03) Point estimation (62F10)

Related Items

Estimating the error variance after a pre-test for an interval restriction on the coefficients ⋮ Performance of preliminary test estimators for error variance based on W, LR and LM tests ⋮ Comparisons of estimators for regression coefficient in a misspecified linear model with elliptically contoured errors ⋮ On the sensitivity of pre-test estimators to covariance misspecification

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