Preliminary-Test Estimation of the Error Variance in Linear Regression
- 1 April 1987
- journal article
- et interview
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 3 (2) , 299-304
- https://doi.org/10.1017/s0266466600010355
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.Keywords
This publication has 1 reference indexed in Scilit:
- Tables of the Power of the F-TestJournal of the American Statistical Association, 1967