Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors

doi:10.1016/j.spl.2006.11.019

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	Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors
	Zou, Guohua ; Wan, Alan T. K.; Wu, Xiaoyong ; Chen, Ti
	2007-04-15
发表期刊	STATISTICS & PROBABILITY LETTERS
ISSN	0167-7152
卷号	77 期号:8 页码:803-810
摘要	This note considers the problem of estimating regression coefficients when some other coefficients in the model are of no interest. For the case of normal errors, Magnus and Durbin [1999. Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica 67, 639-643] and Danilov and Magnus [2004. On the harm that ignoring pretesting can cause. J. Econometrics 122, 27-46] studied this problem and established an equivalence theorem which states that the problem of estimating the coefficients of interest is equivalent to that of finding an optimal estimator of the vector of coefficients of no interest given a single observation from a normal distribution. The aim of this note is to generalize their findings to the large sample non-normal errors case. Sonic applications of our results are also given. (c) 2007 Elsevier B.V. All rights reserved.
关键词	asymptotic risk non-normal errors weighted estimators
DOI	10.1016/j.spl.2006.11.019
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000246131000006
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/4572
专题	中国科学院数学与系统科学研究院
通讯作者	Wan, Alan T. K.
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.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA
推荐引用方式 GB/T 7714	Zou, Guohua,Wan, Alan T. K.,Wu, Xiaoyong,et al. Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors[J]. STATISTICS & PROBABILITY LETTERS,2007,77(8):803-810.
APA	Zou, Guohua,Wan, Alan T. K.,Wu, Xiaoyong,&Chen, Ti.(2007).Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors.STATISTICS & PROBABILITY LETTERS,77(8),803-810.
MLA	Zou, Guohua,et al."Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors".STATISTICS & PROBABILITY LETTERS 77.8(2007):803-810.