Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

DOI10.1016/0165-1765(94)00485-4zbMath0807.62054OpenAlexW2076498003MaRDI QIDQ5906654

Alan T. K. Wan

Publication date: 1 March 1995

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00485-4

zbMATH Keywords

squared error lossbalanced loss functionpre-test estimatorsinequality constrained least squares estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Point estimation (62F10) Statistical decision theory (62C99)

Related Items (5)

Risk and Pitman closeness properties of feasible generalized double \(k\)-class estimators in linear regression models with non-spherical disturbances under balanced loss function ⋮ Admissible linear estimators in the general Gauss-Markov model under generalized extended balanced loss function ⋮ Estimating the error variance after a pre-test for an interval restriction on the coefficients ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ Testing inequality constraints in a linear regression model with spherically symmetric disturbances

Uses Software

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Cites Work

• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
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