Electronic Resource
New York
:
Cambridge University Press
Econometric theory
3 (1987), S. 299-304
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with least squares, maximum likelihood and minimum mean squared error component estimators. Of these three criteria, the last is found to be superior (in terms of risk under quadratic loss) when pretesting in typical situations.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600010355
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