Estimating the error variance after a pre-test for an interval restriction on the coefficients

doi:10.1016/j.csda.2011.01.019

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	Estimating the error variance after a pre-test for an interval restriction on the coefficients
	Zhu, Rong 2; Zhou, Sherry Z. F.1
	2011-07-01
发表期刊	COMPUTATIONAL STATISTICS & DATA ANALYSIS
ISSN	0167-9473
卷号	55 期号:7 页码:2312-2323
摘要	This paper considers the estimation of the error variance after a pre-test of an interval restriction on the coefficients. We derive the exact finite sample risks of the interval restricted and pre-test estimators of the error variance, and examine the risk properties of the estimators to model misspecification through the omission of relevant regressors. It is found that the pre-test estimator performs better than the interval restricted estimator in terms of the risk properties in a large region of the parameter space; moreover, its risk performance is more robust with respect to the degrees of model misspecification. Furthermore, we propose a bootstrap procedure for estimating the risks of the estimators, to overcome the difficulty of computing the exact risks. (C) 2011 Elsevier B.V. All rights reserved.
关键词	Error variance Interval restriction Pre-test Model misspecification
DOI	10.1016/j.csda.2011.01.019
语种	英语
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000290081300009
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/11916
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.Chinese Acad Sci, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Rong,Zhou, Sherry Z. F.. Estimating the error variance after a pre-test for an interval restriction on the coefficients[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2011,55(7):2312-2323.
APA	Zhu, Rong,&Zhou, Sherry Z. F..(2011).Estimating the error variance after a pre-test for an interval restriction on the coefficients.COMPUTATIONAL STATISTICS & DATA ANALYSIS,55(7),2312-2323.
MLA	Zhu, Rong,et al."Estimating the error variance after a pre-test for an interval restriction on the coefficients".COMPUTATIONAL STATISTICS & DATA ANALYSIS 55.7(2011):2312-2323.