Further results on optimal critical values of pre-test when estimating the regression error variance
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 159-176 |
| Journal / Publication | Econometrics Journal |
| Volume | 9 |
| Issue number | 1 |
| Publication status | Published - Mar 2006 |
Link(s)
Abstract
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
Citation Format(s)
Further results on optimal critical values of pre-test when estimating the regression error variance. / Wan, Alan T.K.; Zou, Guohua; Ohtani, Kazuhiro.
In: Econometrics Journal, Vol. 9, No. 1, 03.2006, p. 159-176.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
