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Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known

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  • Danilov, D.L.

    (Tilburg University, Center For Economic Research)

  • Magnus, J.R.

    (Tilburg University, Center For Economic Research)

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  • Danilov, D.L. & Magnus, J.R., 2002. "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper 2002-77, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:002a672b-73b6-4a8b-8901-7dd78cad8896
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    1. Toyoda, Toshihsa & Wallace, T D, 1976. "Optimal Critical Values for Pre-Testing in Regression," Econometrica, Econometric Society, vol. 44(2), pages 365-375, March.
    2. Danilov, D.L. & Magnus, J.R., 2002. "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper 2002-77, Tilburg University, Center for Economic Research.
    3. Chris Chatfield, 1995. "Model Uncertainty, Data Mining and Statistical Inference," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 158(3), pages 419-444, May.
    4. Jan R. Magnus & J. Durbin, 1999. "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, vol. 67(3), pages 639-644, May.
    5. Giles, Judith A & Giles, David E A, 1993. "Pre-test Estimation and Testing in Econometrics: Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 7(2), pages 145-197, June.
    6. Sawa, Takamitsu & Hiromatsu, Takeshi, 1973. "Minimax Regret Significance Points for a Preliminary Test in Regression Analysis," Econometrica, Econometric Society, vol. 41(6), pages 1093-1101, November.
    7. Judge, G.G. & Bock, M.E., 1983. "Biased estimation," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 10, pages 599-649, Elsevier.
    8. Jan R. Magnus, 2002. "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 225-236, June.
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    Citations

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    Cited by:

    1. Einmahl, J.H.J. & Magnus, J.R. & Kumar, K., 2011. "On the Choice of Prior in Bayesian Model Averaging," Discussion Paper 2011-003, Tilburg University, Center for Economic Research.
    2. Tom Boot & Andreas Pick, 2017. "A near optimal test for structural breaks when forecasting under square error loss," Tinbergen Institute Discussion Papers 17-039/III, Tinbergen Institute.
    3. Manganelli, Simone, 2016. "Deciding with judgment," Working Paper Series 1947, European Central Bank.
    4. Aedın Doris & Donal O’Neill & Olive Sweetman, 2011. "GMM estimation of the covariance structure of longitudinal data on earnings," Stata Journal, StataCorp LP, vol. 11(3), pages 439-459, September.
    5. Giuseppe De Luca & Jan R. Magnus, 2011. "Bayesian model averaging and weighted-average least squares: Equivariance, stability, and numerical issues," Stata Journal, StataCorp LP, vol. 11(4), pages 518-544, December.
    6. Magnus, J.R. & Powell, O.R. & Prüfer, P., 2008. "A Comparison of Two Averaging Techniques with an Application to Growth Empirics," Discussion Paper 2008-39, Tilburg University, Center for Economic Research.
    7. Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Posterior moments and quantiles for the normal location model with Laplace prior," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(17), pages 4039-4049, August.
    8. Jan R. Magnus & Dmitry Danilov, 2004. "Forecast accuracy after pretesting with an application to the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(4), pages 251-274.
    9. Danilov, D.L. & Magnus, J.R., 2002. "Estimation of the Mean of a Univariate Normal Distribution When the Variance is not Known," Discussion Paper 2002-77, Tilburg University, Center for Economic Research.
    10. Magnus, J.R. & Wang, W. & Zhang, Xinyu, 2012. "WALS Prediction," Other publications TiSEM 7715e942-b446-4985-8216-f, Tilburg University, School of Economics and Management.

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