THE OPTIMAL SIZE OF A PRELIMINARY TEST OF LINEAR RESTRICTIONS IN A MISSPECIFIED REGRESSION-MODEL
THE OPTIMAL SIZE OF A PRELIMINARY TEST OF LINEAR RESTRICTIONS IN A MISSPECIFIED REGRESSION-MODEL
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DOI：
10.2307/2290654
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发表时间：
1992-12-01
影响因子：
3.7
通讯作者：
GILES, JA
中科院分区：
文献类型：
--
作者：
GILES, DEA;LIEBERMAN, O;GILES, JA
当线性回归模型中系数估计量的选择是由模型限制有效性的先前测试结果确定时，众所周知，极小极大（风险）遗憾准则会得出这样一个简单规则：无论自由度如何，初步测试的最佳临界值大约为 2。我们表明，在相关回归变量一开始就被排除在模型之外的（可能）事件中，该结果不再成立。
When the choice of estimator for the coefficients in a linear regression model is determined by the outcome of a prior test of the validity of restrictions on the model, it is well known that a minimax (risk) regret criterion leads to the simple rule that the optimal critical value for the preliminary test is approximately two in value, regardless of the degrees of freedom. We show that this result no longer holds in the (likely) event that relevant regressors are excluded from the model at the outset.