Estimating the error variance after a pre-test for an inequality restriction on the coefficients

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)197-213
Journal / PublicationJournal of Statistical Planning and Inference
Volume52
Issue number2
Publication statusPublished - 15 Jun 1996

Abstract

Estimation of the regression error variance after a preliminary test of an inequality constraint on the coefficient vector is considered. We derive the exact finite sample risk of several inequality restricted and pre-test estimators of σ2. These estimators are associated with the maximum likelihood, least squares and minimum mean squared error component estimators. Optimal critical values for the pre-test according to a mini-max regret criterion are numerically calculated. Furthermore, we examine the robustness of the optimal choice of critical values and the risk properties of the estimators of σ2 to model mis-specification through the exclusion of relevant regressors.

Research Area(s)

  • Error variance, Inequality restriction, Mini-max regret, Pre-test