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MSE performance of the 2SHI estimator in a regression model with multivariate t error terms

  • Akio Namba

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Article provided by Springer in its journal Statistical Papers.

Volume (Year): 42 (2001)
Issue (Month): 1 (January)
Pages: 81-96

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Handle: RePEc:spr:stpapr:v:42:y:2001:i:1:p:81-96
DOI: 10.1007/s003620000041
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  1. Ohtani, Kazuhiro & Giles, Judith, 1993. "Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 393-406.
  2. Giles, Judith A., 1992. "Estimation of the error variance after a preliminary-test of homogeneity in a regression model with spherically symmetric disturbances," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 345-361.
  3. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
  4. Ullah, Aman & Zinde-Walsh, Victoria, 1984. "On the Robustness of LM, LR, and W Tests in Regression Models," Econometrica, Econometric Society, vol. 52(4), pages 1055-66, July.
  5. Van Hoa, Tran, 1985. "The inadmissibility of the Stein estimator in normal multiple regression equations," Economics Letters, Elsevier, vol. 19(1), pages 39-42.
  6. Judge, George & Miyazaki, Shigetaka & Yancey, Thomas, 1985. "Minimax Estimators for the Location Vectors of Spherically Symmetric Densities," Econometric Theory, Cambridge University Press, vol. 1(03), pages 409-417, December.
  7. Ohtani, Kazuhiro & Hasegawa, Hikaru, 1993. "On Small Sample Properties of R2 in a Linear Regression Model with Multivariate t Errors and Proxy Variables," Econometric Theory, Cambridge University Press, vol. 9(03), pages 504-515, June.
  8. Singh, Radhey S., 1988. "Estimation of error variance in linear regression models with errors having multivariate student-t distribution with unknown degrees of freedom," Economics Letters, Elsevier, vol. 27(1), pages 47-53.
  9. Van Hoa, Tran, 1993. "The mixture properties of the 2SHI estimators in linear regression models," Statistics & Probability Letters, Elsevier, vol. 16(2), pages 111-115, January.
  10. Tran Van Hoa & Chaturvedi, A., 1999. "Performance of the 2SHI Estimator under the Generalised Pitman Nearness Criterion," Economics Working Papers wp99-4, School of Economics, University of Wollongong, NSW, Australia.
  11. 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.
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