Preliminary-test estimation of the scale parameter in a mis-specified regression model

DOI10.1016/0165-1765(89)90226-7zbMath1328.62416OpenAlexW2026070400MaRDI QIDQ902686

Judith A. Clarke, David E. A. Giles

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(89)90226-7

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (6)

Asymmetric risk of the Stein variance estimator under a misspecified linear regression model ⋮ Estimation of the scale parameter after a pre-test for homogeneity in a mis-specified regression model ⋮ Estimating the error variance after a pre-test for an inequality restriction on the coefficients ⋮ Preliminary-test estimation of the standard error of estimate in linear regression ⋮ Exact distribution of a pre-test estimator for regression error variance when there are omitted variables. ⋮ Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

Uses Software

• AS 155

Cites Work

• Unnamed Item
• Preliminary-test estimation in mis-specified regressions
• Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
• Improved estimation of the disturbance variance in a linear regression model
• Algorithm AS 155: The Distribution of a Linear Combination of χ 2 Random Variables

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