TY - JOUR
T1 - THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
AU - Wan, Alan T.K.
PY - 1994/9
Y1 - 1994/9
N2 - 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
AB - 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
KW - Inequality restriction
KW - mis‐specification
KW - pre‐test
KW - squared error loss
UR - http://www.scopus.com/inward/record.url?scp=84990504420&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-84990504420&origin=recordpage
U2 - 10.1111/j.1467-842X.1994.tb00884.x
DO - 10.1111/j.1467-842X.1994.tb00884.x
M3 - RGC 22 - Publication in policy or professional journal
SN - 0004-9581
VL - 36
SP - 313
EP - 325
JO - Australian Journal of Statistics
JF - Australian Journal of Statistics
IS - 3
ER -