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Asymmetric risk of the Stein variance estimator under a misspecified linear regression model

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  • Qin, Huaizhen
  • Ouyang, Weiwei

Abstract

Using LINear EXponential (LINEX) loss, we formulate the risk of a generic pre-test estimator for the disturbance variance in a misspecified regression model. The dominance and inadmissibility of the Stein estimator of disturbance variance are derived under respective loss configures.

Suggested Citation

  • Qin, Huaizhen & Ouyang, Weiwei, 2016. "Asymmetric risk of the Stein variance estimator under a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 116(C), pages 94-100.
    • Handle: RePEc:eee:stapro:v:116:y:2016:i:c:p:94-100
    DOI: 10.1016/j.spl.2016.04.019
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Michael Cain & Christian Janssen, 1995. "Real estate price prediction under asymmetric loss," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 401-414, September.
    4. 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.
    5. Ohtani, Kazuhiro, 2002. "Exact distribution of a pre-test estimator for regression error variance when there are omitted variables," Statistics & Probability Letters, Elsevier, vol. 60(2), pages 129-140, November.
    6. Wan, Alan T. K. & Kurumai, Hiroko, 1999. "An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 253-259, November.
    7. 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.
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