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

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  • Ohtani, Kazuhiro

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.

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Bibliographic Info

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

Volume (Year): 60 (2002)
Issue (Month): 2 (November)
Pages: 129-140

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Handle: RePEc:eee:stapro:v:60:y:2002:i:2:p:129-140

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Related research

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

References

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  1. Giles, David E. A. & Clarke, Judith A., 1989. "Preliminary-test estimation of the scale parameter in a mis-specified regression model," Economics Letters, Elsevier, vol. 30(3), pages 201-205, September.
  2. Clarke, Judith A. & Giles, David E. A. & Wallace, T. Dudley, 1987. "Estimating the error variance in regression after a preliminary test of restrictions on the coefficients," Journal of Econometrics, Elsevier, vol. 34(3), pages 293-304, March.
  3. Clarke, Judith A. & Giles, David E. A. & Wallace, T. Dudley, 1987. "Preliminary-Test Estimation of the Error Variance in Linear Regression," Econometric Theory, Cambridge University Press, vol. 3(02), pages 299-304, April.
  4. 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.
  5. Ohtani, Kazuhiro, 1993. "A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model," Econometric Theory, Cambridge University Press, vol. 9(04), pages 668-679, August.
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