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
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Publication:902583
DOI10.1016/0165-1765(88)90106-1zbMath1328.62431OpenAlexW2044272079MaRDI QIDQ902583
Publication date: 1 January 2016
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0165-1765(88)90106-1
Linear regression; mixed models (62J05) Point estimation (62F10) Sampling theory, sample surveys (62D05) Statistical methods; economic indices and measures (91B82)
Related Items (21)
Preliminary-test estimation of the regression scale parameter when the loss function is asymmetric ⋮ The exact distribution and density functions of the stein-type estimator for normal variance ⋮ On the admissibility and inadmissibility of estimators of scale parameters using an asymmetric loss function ⋮ ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION ⋮ Estimating the error variance after a pre-test for an inequality restriction on the coefficients ⋮ Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model ⋮ The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables ⋮ Estimating the error variance after a pre-test for an interval restriction on the coefficients ⋮ The relationship between the improvement on the point estimation and the improvement on the interval estimation for the disturbance variance in a linear regression model ⋮ The neyman accuracy and the wolfowitz accuracy of the stein type confidence interval for the disturbance variance ⋮ Stein type confidence interval of the disturbance variance in a linear regression model with multivariate student-t distributed errors ⋮ The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter ⋮ Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances ⋮ Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances ⋮ 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 ⋮ Estimation of the variance in a normal population after the one-sided pre-test for the mean ⋮ Further results on optimal critical values of pre‐test when estimating the regression error variance ⋮ Preliminary-test estimation of the standard error of estimate in linear regression ⋮ On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
Cites Work
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- Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
- Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test
- Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
- On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
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