THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 22_Publication in policy or professional journal
Author(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 313-325 |
| Journal / Publication | Australian Journal of Statistics |
| Volume | 36 |
| Issue number | 3 |
| Publication status | Published - Sep 1994 |
| Externally published | Yes |
Link(s)
Abstract
The literature on the sampling properties of the inequality restricted and pre‐test estimators typically assumes a properly specified model and focuses on the estimation of the regression coefficient vector. In this paper, we derive and evaluate the risk functions of these estimators for both the prediction vector and the disturbance variance in a model which is mis‐specified through the exclusion of relevant regressors. The results suggest that unrestricted estimation is generally preferable to pre‐testing or naively imposing restrictions. Copyright © 1994, Wiley Blackwell. All rights reserved
Research Area(s)
- Inequality restriction, mis‐specification, pre‐test, squared error loss
Citation Format(s)
THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL. / Wan, Alan T.K.
In: Australian Journal of Statistics, Vol. 36, No. 3, 09.1994, p. 313-325.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 22_Publication in policy or professional journal
