Pre-testing in a mis-specified regression model
Open Access
- 1 January 1991
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 20 (10) , 3221-3238
- https://doi.org/10.1080/03610929108830698
Abstract
We consider the pre-test estimation of the parameters of a linear regression model after a preliminary-test for exact linear restrictions when the model is mis-specified through the omission of relevant regressors and the usual assumption of normal regression disturbances is widened to a subclass of the family of spherically symmetric errors. We derive and analyse the exact risk (under quadratic loss) of a pre-test estimator of the prediction vector and of the scale parameter.Keywords
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