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Further results on optimal critical values of pre-test when estimating the regression error variance

  • Alan T.K. Wan
  • Guohua Zou
  • Kazuhiro Ohtani

This paper enlarges on results of Wan and Zou (Journal of Econometrics 114 (2003), 165--96) on the choice of critical values for pre-test procedures based on the minimum risk criterion. We consider a modification of the general theorem given in Wan and Zou (2003) to obtain the optimal critical value that minimizes the risks of various inequality pre-test estimators of the regression error variance under a general class of first-order differentiable loss functions. Theoretical proofs of earlier numerical results are provided. This paper also presents results on the optimal pre-test critical values for the simultaneous estimation of the error variance and coefficient vector. Copyright Royal Economic Society 2006

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Article provided by Royal Economic Society in its journal The Econometrics Journal.

Volume (Year): 9 (2006)
Issue (Month): 1 (03)
Pages: 159-176

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Handle: RePEc:ect:emjrnl:v:9:y:2006:i:1:p:159-176
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