On pooling disturbance variances when the goal is testing restrictions on regression coefficients
type: Item
instance of: scholarly article
title: On pooling disturbance variances when the goal is testing restrictions on regression coefficients
zbMATH Open document ID: 0617.62079
DOI: 10.1016/0304-4076(87)90025-X
author: Kazuhiro Ohtani
published in: Journal of Econometrics
publication date: 1987-01-01T00:00:00Z
review text: We examine the problem of pooling variances from the viewpoint of testing linear restrictions on regression coefficients. That is, we examine the sampling performance of the two-stage test which consists of the pre-test for equality of disturbance variances followed by the main-test for linear restrictions on regression coefficients. It is shown that the bias in the size of the two-stage test may not be important and the two-stage test can be more powerful than the usual test which does not conduct the pre-test, if the size of the pre-test is chosen appropriately.
Mathematics Subject Classification ID: 62J99
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62F03
zbMATH DE Number: 4001246
zbMATH Keywords: pooling variances
zbMATH Keywords: testing linear restrictions
zbMATH Keywords: regression coefficients
zbMATH Keywords: two-stage test
zbMATH Keywords: pre-test for equality of disturbance variances
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 4001246