2006年
Further results on optimal critical values of pre-test when estimating the regression error variance
ECONOMETRICS JOURNAL
- ,
- ,
- 巻
- 9
- 号
- 1
- 開始ページ
- 159
- 終了ページ
- 176
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1111/j.1368-423X.2006.00180.x
- 出版者・発行元
- BLACKWELL PUBLISHING
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.
- リンク情報
- ID情報
-
- DOI : 10.1111/j.1368-423X.2006.00180.x
- ISSN : 1368-4221
- Web of Science ID : WOS:000236275800007