Optimal pre-test estimators in regression

被引：9

作者：

Reif, J ^{[1
]}

Vlcek, K ^{[1
]}

机构：

[1] Univ W Bohemia, Dept Math, Plzen 30614, Czech Republic

来源：

JOURNAL OF ECONOMETRICS | 2002年 / 110卷 / 01期

关键词：

linear regression; pre-test estimator; optimality;

D O I：

10.1016/S0304-4076(02)00124-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Pre-testing in a linear regression model is studied with general measurable sets as 'regions of significance' for the usual test statistic t associated with the estimate of a given regression coefficient. Optimality under a general quadratic loss function and a general prior for the coefficient is discussed. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：91 / 102

页数：12

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