Further results on optimal critical values of pre-test when estimating the regression error variance

doi:10.1111/j.1368-423X.2006.00180.x

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	Further results on optimal critical values of pre-test when estimating the regression error variance
	Wan, ATK ; Zou, G ; Ohtani, K
	2006
发表期刊	ECONOMETRICS JOURNAL
ISSN	1368-4221
卷号	9 期号:1 页码:159-176
摘要	This paper enlarges on results of Wan and Zou [Journal of Econometrics 114 (2003), 165-96] on the choice of critical values for pre-test procedures based on the minimum risk criterion. We consider a modi. cation of the general theorem given in Wan and Zou (2003) to obtain the optimal critical value that minimizes the risks of various inequality pre-test estimators of the regression error variance under a general class of first-order differentiable loss functions. Theoretical proofs of earlier numerical results are provided. This paper also presents results on the optimal pre-test critical values for the simultaneous estimation of the error variance and coefficient vector.
关键词	entropy loss first-order differentiable inequality constraint Lebesgue integrable regression variance
DOI	10.1111/j.1368-423X.2006.00180.x
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 ; Statistics & Probability
WOS记录号	WOS:000236275800007
出版者	BLACKWELL PUBLISHING
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2911
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.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 3.Kobe Univ, Fac Econ, Nada Ku, Kobe, Hyogo 657, Japan
推荐引用方式 GB/T 7714	Wan, ATK,Zou, G,Ohtani, K. Further results on optimal critical values of pre-test when estimating the regression error variance[J]. ECONOMETRICS JOURNAL,2006,9(1):159-176.
APA	Wan, ATK,Zou, G,&Ohtani, K.(2006).Further results on optimal critical values of pre-test when estimating the regression error variance.ECONOMETRICS JOURNAL,9(1),159-176.
MLA	Wan, ATK,et al."Further results on optimal critical values of pre-test when estimating the regression error variance".ECONOMETRICS JOURNAL 9.1(2006):159-176.