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Optimal critical values of pre-tests when estimating the regression error variance: analytical findings under a general loss structure

  • Wan, Alan T. K.
  • Zou, Guohua

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4753NV2-1/2/5d2ba9a0ecbeb69b25c842a35ea58d93
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 114 (2003)
Issue (Month): 1 (May)
Pages: 165-196

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Handle: RePEc:eee:econom:v:114:y:2003:i:1:p:165-196
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Rukhin, Andrew L. & Ananda, Malwane M. A., 1992. "Risk behavior of variance estimators in multivariate normal distribution," Statistics & Probability Letters, Elsevier, vol. 13(2), pages 159-166, January.
  2. Giles, Judith A., 1991. "Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances," Journal of Econometrics, Elsevier, vol. 50(3), pages 377-398, December.
  3. 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.
  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. Toyoda, Toshihsa & Wallace, T D, 1976. "Optimal Critical Values for Pre-Testing in Regression," Econometrica, Econometric Society, vol. 44(2), pages 365-75, March.
  6. 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.
  7. John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.
  8. Nariaki Sugiura & Yoshihiko Konno, 1988. "Entropy loss and risk of improved estimators for the generalized variance and precision," Annals of the Institute of Statistical Mathematics, Springer, vol. 40(2), pages 329-341, June.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
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