Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

Alan T.K. Wan

doi:10.1016/0165-1765(94)00485-4

Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

Alan T.K. Wan

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

31 Citations (Scopus)

Abstract

This paper considers the risks of the inequality constrained least squares and pre-test estimators using the balanced loss function proposed by Zellner. It is found that some of the well-known results which hold under squared error loss do not necessarily hold under a balanced loss function. © 1994.

Original language	English
Pages (from-to)	203-210
Journal	Economics Letters
Volume	46
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(94)00485-4
Publication status	Published - Nov 1994
Externally published	Yes

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DO - 10.1016/0165-1765(94)00485-4

M3 - RGC 21 - Publication in refereed journal

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JO - Economics Letters

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Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

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