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The risk properties of a pre-test estimator for Zellner's seemingly unrelated regression model

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  • Özcam, A.
  • Judge, G.
  • Bera, A.
  • Yancey, T.

    (Tilburg University, Center for Economic Research)

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    File URL: http://arno.uvt.nl/show.cgi?fid=104831
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    Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1991-59.

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    Date of creation: 1991
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    Handle: RePEc:dgr:kubcen:199159

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    Web page: http://center.uvt.nl

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    1. Toyoda, T. & Wallace, T. D., 1975. "Estimation of variance after a preliminary test of homogeneity and optimal levels of significance for the pre-test," Journal of Econometrics, Elsevier, vol. 3(4), pages 395-404, November.
    2. Ohtani, Kazuhiro & Toyoda, Toshihisa, 1980. "Estimation of regression coefficients after a preliminary test for homoscedasticity," Journal of Econometrics, Elsevier, vol. 12(2), pages 151-159, February.
    3. Ohtani, Kazuhiro, 1988. "Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression," Economics Letters, Elsevier, vol. 28(2), pages 151-156.
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