Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure

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	Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure
	Wan, ATK ; Zou, GH
	2003-05-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	114 期号:1 页码:165-196
摘要	This paper re-visits the problem of estimating the regression error variance in a linear multiple regression model after preliminary hypothesis tests for either linear restrictions on the coefficients or homogeneity of variances. There is an extensive literature that discusses these problems, particularly in terms of the sampling properties of the pre-test estimators using various loss functions as the basis for risk analysis. In this paper, a unified framework for analysing the risk properties of these estimators is developed under a general class of loss structures that incorporates virtually all first-order differentiable losses. Particular consideration is given to the choice of critical values for the pre-tests. Analytical results indicate that an alpha-level substantially higher than those normally used may be appropriate for optimal risk properties under a wide range of loss functions. The paper also generalizes some known analytical results in the pre-test literature and proves other results only previously shown numerically. (C) 2002 Elsevier Science B.V. All rights reserved.
关键词	entropy loss first-order differentiable Lebesgue integrable linear restrictions LINEX loss quadratic loss risk variance homogeneity
语种	英语
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000181494500006
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18735
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, ATK
作者单位	1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Wan, ATK,Zou, GH. Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure[J]. JOURNAL OF ECONOMETRICS,2003,114(1):165-196.
APA	Wan, ATK,&Zou, GH.(2003).Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure.JOURNAL OF ECONOMETRICS,114(1),165-196.
MLA	Wan, ATK,et al."Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure".JOURNAL OF ECONOMETRICS 114.1(2003):165-196.