This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Exact distribution of a pre-test estimator for regression error variance when there are omitted variables

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Ohtani, Kazuhiro

Additional information is available for the following registered author(s):

Abstract

In this paper, we derive the exact distribution of a pre-test estimator for regression error variance when the relevant independent variables are omitted, and show theoretically that the MSE dominance of the Stein variance estimator over the usual estimator is robust to the specification error.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6V1D-475YN34-1/2/22df4411b1c2e541eeb95db81e2862e0
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 60 (2002)
Issue (Month): 2 (November)
Pages: 129-140
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:stapro:v:60:y:2002:i:2:p:129-140

Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description

Order Information:
Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
Web: https://shop.elsevier.com/order?id=505573&ref=505573_01_ooc_1&version=01

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords: MSE dominance Pre-test Specification error Stein variance estimator;

Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-12-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.