Further Results on Optimal Critical Values of Pre-Test When Estimating The Regression Error Variance  

Oleh:

Ohtani, Kazuhiro ; Wan, Alan T.K. ; Guohua, Zou

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 9 no. 1 (2006), page 159-176.
Topik: REGRESSIONS; entropy loss; first - order differentiable; inequality constraint; lebesgue integrable; regression variance
Fulltext: 159.pdf (188.95KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

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.

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