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Improved estimation of the disturbance variance in a linear regression model

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  • Gelfand, Alan E.
  • Dey, Dipak K.

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  • Gelfand, Alan E. & Dey, Dipak K., 1988. "Improved estimation of the disturbance variance in a linear regression model," Journal of Econometrics, Elsevier, vol. 39(3), pages 387-395, November.
    • Handle: RePEc:eee:econom:v:39:y:1988:i:3:p:387-395
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    Cited by:

    1. Ohtani, Kazuhiro, 2002. "Exact distribution of a pre-test estimator for regression error variance when there are omitted variables," Statistics & Probability Letters, Elsevier, vol. 60(2), pages 129-140, November.
    2. Wan, Alan T. K. & Zou, Guohua, 2003. "Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure," Journal of Econometrics, Elsevier, vol. 114(1), pages 165-196, May.
    3. Kazuhiro Ohtani & Alan Wan, 2002. "ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 121-134.
    4. Youhei Oono & Nobuo Shinozaki, 2006. "Estimation of error variance in ANOVA model and order restricted scale parameters," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 58(4), pages 739-756, December.
    5. Qin, Huaizhen & Ouyang, Weiwei, 2016. "Asymmetric risk of the Stein variance estimator under a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 94-100.
    6. Ohtani, Kazuhiro, 1996. "Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 191-199, September.
    7. D. Gokhale & Koichi Inada & Hea-Jung Kim, 1993. "A minimum discrimination information estimator of preliminary conjectured normal variance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 45(1), pages 129-136, March.
    8. Ohtani, Kazuhiro, 1998. "Inadmissibility of the Stein-rule estimator under the balanced loss function," Journal of Econometrics, Elsevier, vol. 88(1), pages 193-201, November.
    9. Kazuhiro Ohtani & Alan Wan, 2009. "Comparison of the Stein and the usual estimators for the regression error variance under the Pitman nearness criterion when variables are omitted," Statistical Papers, Springer, vol. 50(1), pages 151-160, January.

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