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Estimation of the Regression Scale After a Pre-Test for Homoscedasticity Under Linex Loss

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  • Giles, Judith A.
  • Giles, David E. A.

Abstract

In this paper we consider the risk of an estimator of the error variance after a pre-test for homoscedasticity of the variances in the two-sample heteroscedastic linear regression model. This particular pre-test problem has been well investigated but always under the restrictive assumption of a squared error loss function. We consider an asymmetric loss function - the LINEX loss function - and derive the exact risks of various estimators of the error variance.

Suggested Citation

  • Giles, Judith A. & Giles, David E. A., "undated". "Estimation of the Regression Scale After a Pre-Test for Homoscedasticity Under Linex Loss," Papers 263708, Department of Economics Discussion Papers.
    • Handle: RePEc:ags:canzdp:263708
    DOI: 10.22004/ag.econ.263708
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