On the sensitivity of pre-test estimators to covariance misspecification

doi:10.1016/j.jspi.2010.06.003

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	On the sensitivity of pre-test estimators to covariance misspecification
	Qin, Huaizhen 2; Zou, Guohua 3; Zhou, Sherry Z. F.1
	2011
发表期刊	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN	0378-3758
卷号	141 期号:1 页码:293-304
摘要	In statistical and econometric practice it is not uncommon to find that regression parameter estimates obtained using estimated generalized least squares (EGLS) do not differ much from those obtained through ordinary least squares (OLS), even when the assumption of spherical errors is violated. To investigate if one could ignore non-spherical errors, and legitimately continue with OLS estimation under the non-spherical disturbance setting, Banerjee and Magnus (1999) developed statistics to measure the sensitivity of the OLS estimator to covariance misspecification. Wan et al. (2007) generalized this work by allowing for linear restrictions on the regression parameters. This paper extends the aforementioned studies by exploring the sensitivity of the equality restrictions pre-test estimator to covariance misspecification. We find that the pre-test estimators can be very sensitive to covariance misspecification, and the degree of sensitivity of the pre-test estimator often lies between that of its unrestricted and restricted components. In addition, robustness to non-normality is investigated. It is found that existing results remain valid if elliptically symmetric, instead of normal, errors are assumed. (C) 2010 Elsevier B.V. All rights reserved.
关键词	Linear restrictions Non-spherical disturbances Pre-test Robustness
DOI	10.1016/j.jspi.2010.06.003
语种	英语
资助项目	National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[70933003] ; Hong Kong Research Grant Council[9041467]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000282670100023
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11422
专题	中国科学院数学与系统科学研究院
通讯作者	Zhou, Sherry Z. F.
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Case Western Reserve Univ, Sch Med, Dept Epidemiol & Biostat, Cleveland, OH 44106 USA 3.Chinese Acad Sci, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Qin, Huaizhen,Zou, Guohua,Zhou, Sherry Z. F.. On the sensitivity of pre-test estimators to covariance misspecification[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2011,141(1):293-304.
APA	Qin, Huaizhen,Zou, Guohua,&Zhou, Sherry Z. F..(2011).On the sensitivity of pre-test estimators to covariance misspecification.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,141(1),293-304.
MLA	Qin, Huaizhen,et al."On the sensitivity of pre-test estimators to covariance misspecification".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 141.1(2011):293-304.