Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure
文献类型：期刊论文
| 作者 | Wan, ATK; Zou, GH |
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2003-05-01 |
| 卷号 | 114期号:1页码:165-196 |
| 关键词 | entropy loss first-order differentiable Lebesgue integrable linear restrictions LINEX loss quadratic loss risk variance homogeneity |
| ISSN号 | 0304-4076 |
| 英文摘要 | This paper re-visits the problem of estimating the regression error variance in a linear multiple regression model after preliminary hypothesis tests for either linear restrictions on the coefficients or homogeneity of variances. There is an extensive literature that discusses these problems, particularly in terms of the sampling properties of the pre-test estimators using various loss functions as the basis for risk analysis. In this paper, a unified framework for analysing the risk properties of these estimators is developed under a general class of loss structures that incorporates virtually all first-order differentiable losses. Particular consideration is given to the choice of critical values for the pre-tests. Analytical results indicate that an alpha-level substantially higher than those normally used may be appropriate for optimal risk properties under a wide range of loss functions. The paper also generalizes some known analytical results in the pre-test literature and proves other results only previously shown numerically. (C) 2002 Elsevier Science B.V. All rights reserved. |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000181494500006 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18734]  |
| 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.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wan, ATK,Zou, GH. Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure[J]. JOURNAL OF ECONOMETRICS,2003,114(1):165-196. |
| APA | Wan, ATK,&Zou, GH.(2003).Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure.JOURNAL OF ECONOMETRICS,114(1),165-196. |
| MLA | Wan, ATK,et al."Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure".JOURNAL OF ECONOMETRICS 114.1(2003):165-196. |
入库方式： OAI收割
来源：数学与系统科学研究院
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