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MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression

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Author Info
Ohtani, Kazuhiro

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Abstract

In this paper, we examine the small sample properties of the pre-test iterative variance estimator in regression. The explicit formula of MSE is derived, and it is shown that the pre-test iterative variance estimator with an appropriate critical value dominates the iterative variance estimator without pre-testing in terms of MSE. We also compare the MSE performances of the pre-test iterative variance estimators using the Stein-rule, minimum mean squared error, and adjusted minimum mean squared error estimators by numerical evaluations.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-43SVBGS-F/2/a37bb6da97aac26f083fb40c224945d8
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 54 (2001)
Issue (Month): 3 (October)
Pages: 331-340
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Handle: RePEc:eee:stapro:v:54:y:2001:i:3:p:331-340

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Related research
Keywords: Iterative variance estimator Mean squared error Pre-test Regression error variance;

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