Further Results on Optimal Critical Values of Pre-Test When Estimating the Regression Error Variance
Further Results on Optimal Critical Values of Pre-Test When Estimating the Regression Error Variance
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DOI：
10.1111/j.1368-423x.2006.00180.x
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发表时间：
2006-03
期刊：
影响因子：
--
通讯作者：
Alan T. K. Wan;Guohua Zou;K. Ohtani
中科院分区：
文献类型：
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作者：
Alan T. K. Wan;Guohua Zou;K. Ohtani
本文扩大了Wan和Zou （Journal of Econometrics 114(2003), 165—96）关于基于最小风险准则的预测试程序临界值选择的结果。我们考虑对Wan和Zou（2003）中给出的一般定理的一个修正，以获得在一般一类一阶可微损失函数下各种不等式预检验估计回归误差方差的风险最小的最优临界值。给出了先前数值结果的理论证明。本文还给出了同时估计误差方差和系数向量的最优预测临界值的结果。版权所有皇家经济学会2006
This paper enlarges on results of Wan and Zou (Journal of Econometrics 114 (2003), 165--96) on the choice of critical values for pre-test procedures based on the minimum risk criterion. We consider a modification of the general theorem given in Wan and Zou (2003) to obtain the optimal critical value that minimizes the risks of various inequality pre-test estimators of the regression error variance under a general class of first-order differentiable loss functions. Theoretical proofs of earlier numerical results are provided. This paper also presents results on the optimal pre-test critical values for the simultaneous estimation of the error variance and coefficient vector. Copyright Royal Economic Society 2006