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Further results on optimal critical values of pre-test when estimating the regression error variance.
- Source :
- Econometrics Journal; Mar2006, Vol. 9 Issue 1, p159-176, 18p, 3 Graphs
- Publication Year :
- 2006
-
Abstract
- This paper enlarges on results of Wan and Zou [Journal of Econometrics 114 (2003), 165–96] on the choice of critical values for pre-test procedures based on the minimum risk criterion. We consider a modification of the general theorem given in Wan and Zou (2003) to obtain the optimal critical value that minimizes the risks of various inequality pre-test estimators of the regression error variance under a general class of first-order differentiable loss functions. Theoretical proofs of earlier numerical results are provided. This paper also presents results on the optimal pre-test critical values for the simultaneous estimation of the error variance and coefficient vector. [ABSTRACT FROM AUTHOR]
- Subjects :
- REGRESSION analysis
ERRORS
ANALYSIS of variance
ESTIMATION theory
ECONOMETRICS
Subjects
Details
- Language :
- English
- ISSN :
- 13684221
- Volume :
- 9
- Issue :
- 1
- Database :
- Complementary Index
- Journal :
- Econometrics Journal
- Publication Type :
- Academic Journal
- Accession number :
- 20060214
- Full Text :
- https://doi.org/10.1111/j.1368-423X.2006.00180.x