Estimating the error variance in regression after a preliminary test of restrictions on the coefficients

Loading...
Thumbnail Image

Date

1987

Journal Title

Journal ISSN

Volume Title

Repository Usage Stats

274
views
331
downloads

Abstract

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.

Department

Description

Provenance

Citation


Unless otherwise indicated, scholarly articles published by Duke faculty members are made available here with a CC-BY-NC (Creative Commons Attribution Non-Commercial) license, as enabled by the Duke Open Access Policy. If you wish to use the materials in ways not already permitted under CC-BY-NC, please consult the copyright owner. Other materials are made available here through the author’s grant of a non-exclusive license to make their work openly accessible.