Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
type: Item
instance of: scholarly article
title: Estimating the error variance in regression after a preliminary test of restrictions on the coefficients
zbMATH Open document ID: 0611.62076
DOI: 10.1016/0304-4076(87)90014-5
author: Judith A. Clarke
author: David E. Giles
author: T. Dudley Wallace
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
full work available at URL: http://hdl.handle.net/10161/1898
review text: Maximum-likelihood estimation of the variance of the disturbances in a linear regression is considered in the context of exact linear restrictions on the coefficient vector. The exact risk function for the associated preliminary-test estimator of this variance is derived and evaluated numerically on the basis of relative quadratic loss. Our results indicate that in practical situations the risk of the pre-test estimator differs only slightly from that of the naive estimator which ignores the restrictions without testing. Applying the coefficient restrictions without testing their validity is not recommended.
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 3988514
zbMATH Keywords: error variance
zbMATH Keywords: numerical evaluation of risk function
zbMATH Keywords: Maximum-likelihood estimation
zbMATH Keywords: exact linear restrictions
zbMATH Keywords: exact risk
zbMATH Keywords: preliminary-test estimator
zbMATH Keywords: relative quadratic loss
MaRDI profile type: Publication
OpenAlex ID: W2065475633
cites work: Q3660706
cites work: On the Use of a Regret Function to Set Significance Points in Prior Tests of Estimation
cites work: On choosing the optimal level of significance for the Durbin-Watson test and the Bayesian alternative
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cites work: Tables of the Power of the F-Test
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cites work: The sampling performance of pre-test estimators of the scale parameter under squared error loss
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description: scientific article; zbMATH DE number 3988514