Further results on optimal critical values of pre-test when estimating the regression error variance

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Original languageEnglish
Pages (from-to)159-176
Journal / PublicationEconometrics Journal
Issue number1
Publication statusPublished - Mar 2006


This paper enlarges on results of Wan and Zou [Journal of Econometrics 114 (2003), 165-96]on the choice of critical values for pre-test procedures based on the minimum risk criterion. We consider a modification of the general theorem given in Wan and Zou (2003) to obtain the optimal critical value that minimizes the risks of various inequality pre-test estimators of the regression error variance under a general class of first-order differentiable loss functions. Theoretical proofs of earlier numerical results are provided. This paper also presents results on the optimal pre-test critical values for the simultaneous estimation of the error variance and coefficient vector. © Royal Economic Society 2006.

Research Area(s)

  • Entropy loss, First-order differentiable, Inequality constraint, Lebesgue integrable, Regression variance