Show simple item record Toyoda, T. en_US Wallace, Dudley en_US 2010-03-09T15:29:51Z 2010-03-09T15:29:51Z 1975 en_US
dc.description.abstract The question of whether to pool two samples in variance estimation is often decided via a preliminary F test. In this paper we show that the optimal pre-test F value is unity for a onesided alternative, where the objective function is to minimize average relative risk. The outcome is independent of numbers of degrees of freedom in each sample. Optimal significance levels vary somewhat but are close to + for most d.f. and equal to : when numerator and denominator d.f. are equal. The results also apply to regression variance estimation across two data regimes. en_US
dc.format.extent 423215 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Journal of Econometrics en_US
dc.subject estimating en_US
dc.subject optimal pre-test en_US
dc.subject preliminary test en_US
dc.title Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test en_US
dc.type Journal Article en_US
dc.department Economics

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