Preliminary-test estimation of the standard error of estimate in linear regression

DOI10.1016/0165-1765(90)90176-2zbMath0714.62060OpenAlexW1969465166MaRDI QIDQ751126

Judith A. Clarke

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1016/0165-1765(90)90176-2

zbMATH Keywords

estimation of the standard error of estimatefinite-sample expressionpre-test estimatorspreliminary test of restrictions

Mathematics Subject Classification ID

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

Related Items (4)

Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric ⋮ On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function ⋮ Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss ⋮ Stein-type improved estimation of standard error under asymmetric LINEX loss function

Cites Work

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• The sampling performance of pre-test estimators of the scale parameter under squared error loss
• Testing linear hypothesis on regression coefficients after a pre-test for disturbance variance
• Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression
• Preliminary-test estimation of the scale parameter in a mis-specified regression model
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Tables of the Power of the F-Test

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