PMSE performance of two different types of preliminary test estimators under a multivariate t error term

被引：0

作者：

Xu, Haifeng ^{[1
,2
]}

Ohtani, Kazuhiro ^{[3
]}

机构：

[1] Xiamen Univ, Sch Econ, Dept Stat, Xiamen, Fujian, Peoples R China

[2] Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Fujian, Peoples R China

[3] Kobe Univ, Grad Sch Econ, Kobe, Hyogo, Japan

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2019年 / 48卷 / 17期

关键词：

Predictive mean squared error; homogeneous preliminary test estimator; heterogeneous preliminary test estimator; multivariate t error term; LINEAR-REGRESSION MODEL; MSE PERFORMANCE; RESTRICTIONS;

D O I：

10.1080/03610926.2018.1494286

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, assuming that the error terms follow a multivariate t distribution, we derive the exact formula for the predictive mean squared error (PMSE) of two different types of pretest estimators. It is shown analytically that one of the pretest estimator dominates the SR estimator if a critical value of the pretest is chosen appropriately. Also, we compare the PMSE of the pretest estimators with the MMSE, AMMSE, SR and PSR estimators by numerical evaluations. Our results show that the pretest estimators dominate the OLS estimator for all combinations when the degrees of freedom is not more than 5. Key Words: Predictive mean squared error; Homogeneous preliminary test estimator; Heterogeneous preliminary test estimator; Multivariate t error term.

引用

页码：4320 / 4338

页数：19

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