Further results on optimal critical values of pre-test when estimating the regression error variance
文献类型：期刊论文
| 作者 | Wan, ATK; Zou, G; Ohtani, K |
| 刊名 | ECONOMETRICS JOURNAL
 |
| 出版日期 | 2006 |
| 卷号 | 9期号:1页码:159-176 |
| 关键词 | entropy loss first-order differentiable inequality constraint Lebesgue integrable regression variance |
| ISSN号 | 1368-4221 |
| DOI | 10.1111/j.1368-423X.2006.00180.x |
| 英文摘要 | 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. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000236275800007 |
| 出版者 | BLACKWELL PUBLISHING |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2910]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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