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Pre-Test Estimation in Regression Under Absolute Error Loss

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  • Giles, David E. A.

Abstract

We consider the risks of the Ordinary Least Squares, Restricted Least Squares and Pre-Test estimators of a regression coefficient under absolute error loss. These results are compared with their quadratic loss counterparts, and similar regions of risk dominance are found to hold, at least qualitatively.

Suggested Citation

  • Giles, David E. A., "undated". "Pre-Test Estimation in Regression Under Absolute Error Loss," Papers 263702, Department of Economics Discussion Papers.
    • Handle: RePEc:ags:canzdp:263702
    DOI: 10.22004/ag.econ.263702
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