PRELIMINARY-TEST ESTIMATION OF THE STANDARD ERROR OF ESTIMATE IN LINEAR-REGRESSION

被引：4
作者：
CLARKE, JA
机构：
[1] University of Canterbury, Christchurch
来源：
ECONOMICS LETTERS | 1990年 / 34卷 / 01期
关键词：
D O I：
10.1016/0165-1765(90)90176-2
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers the estimation of the 'standard error of estimate' after a preliminary test of restrictions in a linear regression model. A finite-sample expression for the risk of a family of such pre-test estimators is derived and evaluated numerically. The results suggest that, generally, pre-testing is the preferred strategy. © 1990.
引用
收藏
页码：27 / 32
页数：6
相关论文
共 9 条
[1]  
Clarke J.A., 1987, ECONOMET THEOR, V3, P299
[2]   ESTIMATING THE ERROR VARIANCE IN REGRESSION AFTER A PRELIMINARY TEST OF RESTRICTIONS ON THE COEFFICIENTS [J].
CLARKE, JA ;
GILES, DEA ;
WALLACE, TD .
JOURNAL OF ECONOMETRICS, 1987, 34 (03) :293-304
[3]  
CLARKE JA, 1987, THESIS MONASH U MELB
[4]   PRELIMINARY-TEST ESTIMATION OF THE SCALE PARAMETER IN A MIS-SPECIFIED REGRESSION-MODEL [J].
GILES, DEA ;
CLARKE, JA .
ECONOMICS LETTERS, 1989, 30 (03) :201-205
[5]  
JUDGE GG, 1978, STATISTICAL IMPLICAT
[6]   TESTING LINEAR-HYPOTHESIS ON REGRESSION-COEFFICIENTS AFTER A PRE-TEST FOR DISTURBANCE VARIANCE [J].
OHTANI, K ;
TOYODA, T .
ECONOMICS LETTERS, 1985, 17 (1-2) :111-114
[7]   OPTIMAL LEVELS OF SIGNIFICANCE OF A PRE-TEST IN ESTIMATING THE DISTURBANCE VARIANCE AFTER THE PRE-TEST FOR A LINEAR-HYPOTHESIS ON COEFFICIENTS IN A LINEAR-REGRESSION [J].
OHTANI, K .
ECONOMICS LETTERS, 1988, 28 (02) :151-156
[8]   TABLES OF POWER OF F-TEST [J].
TIKU, ML .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1967, 62 (318) :525-&
[9]   THE SAMPLING PERFORMANCE OF PRE-TEST ESTIMATORS OF THE SCALE PARAMETER UNDER SQUARED ERROR LOSS [J].
YANCEY, TA ;
JUDGE, GG ;
MANDY, DM .
ECONOMICS LETTERS, 1983, 12 (02) :181-186
1