Preliminary-Test Estimation of the Error Variance in Linear Regression
dc.contributor.author | Clarke, Judith A | |
dc.contributor.author | Giles, David EA | |
dc.contributor.author | Wallace, Dudley | |
dc.date.accessioned | 2010-06-28T18:50:29Z | |
dc.date.available | 2010-06-28T18:50:29Z | |
dc.date.issued | 1987-08 | |
dc.identifier.uri | https://hdl.handle.net/10161/2568 | |
dc.description.abstract | We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with least squares, maximum likelihood and minimum mean squared error component estimators. Of these three criteria, the last is found to be superior (in terms of risk under quadratic loss) when pretesting in typical situations. | |
dc.format.extent | 188317 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | |
dc.publisher | Econometric Theory | |
dc.subject | biases | |
dc.subject | error | |
dc.subject | linear regression | |
dc.subject | pretest estimators | |
dc.title | Preliminary-Test Estimation of the Error Variance in Linear Regression | |
dc.type | Journal article |
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