On the sensitivity of pre-test estimators to covariance misspecification
文献类型：期刊论文
| 作者 | Qin, Huaizhen2; Zou, Guohua3; Zhou, Sherry Z. F.1 |
| 刊名 | JOURNAL OF STATISTICAL PLANNING AND INFERENCE
 |
| 出版日期 | 2011 |
| 卷号 | 141期号:1页码:293-304 |
| 关键词 | Linear restrictions Non-spherical disturbances Pre-test Robustness |
| ISSN号 | 0378-3758 |
| DOI | 10.1016/j.jspi.2010.06.003 |
| 英文摘要 | In statistical and econometric practice it is not uncommon to find that regression parameter estimates obtained using estimated generalized least squares (EGLS) do not differ much from those obtained through ordinary least squares (OLS), even when the assumption of spherical errors is violated. To investigate if one could ignore non-spherical errors, and legitimately continue with OLS estimation under the non-spherical disturbance setting, Banerjee and Magnus (1999) developed statistics to measure the sensitivity of the OLS estimator to covariance misspecification. Wan et al. (2007) generalized this work by allowing for linear restrictions on the regression parameters. This paper extends the aforementioned studies by exploring the sensitivity of the equality restrictions pre-test estimator to covariance misspecification. We find that the pre-test estimators can be very sensitive to covariance misspecification, and the degree of sensitivity of the pre-test estimator often lies between that of its unrestricted and restricted components. In addition, robustness to non-normality is investigated. It is found that existing results remain valid if elliptically symmetric, instead of normal, errors are assumed. (C) 2010 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[70933003] ; Hong Kong Research Grant Council[9041467] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000282670100023 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11421]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhou, Sherry Z. F. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Case Western Reserve Univ, Sch Med, Dept Epidemiol & Biostat, Cleveland, OH 44106 USA 3.Chinese Acad Sci, MADIS, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Qin, Huaizhen,Zou, Guohua,Zhou, Sherry Z. F.. On the sensitivity of pre-test estimators to covariance misspecification[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2011,141(1):293-304. |
| APA | Qin, Huaizhen,Zou, Guohua,&Zhou, Sherry Z. F..(2011).On the sensitivity of pre-test estimators to covariance misspecification.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,141(1),293-304. |
| MLA | Qin, Huaizhen,et al."On the sensitivity of pre-test estimators to covariance misspecification".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 141.1(2011):293-304. |
入库方式： OAI收割
来源：数学与系统科学研究院
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