THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
THE SAMPLING PERFORMANCE OF INEQUALITY RESTRICTED AND PRE‐TEST ESTIMATORS IN A MIS‐SPECIFIED LINEAR MODEL
复制标题
错误指定线性模型中不等式限制和预测试估计器的采样性能
DOI：
10.1111/j.1467-842x.1994.tb00884.x
复制
发表时间：
1994
影响因子：
1.1
通讯作者：
Alan T. K. Wan
中科院分区：
文献类型：
--
作者：
Alan T. K. Wan
摘要
关于不等式、约束和检验前估计的抽样性质的文献通常假定适当指定的模型，并且集中在回归系数向量的估计上。在这篇文章中，我们推导并估计了模型中预测向量和干扰方差的风险函数，该模型通过排除相关的回归变量而被错误地指定。结果表明，不受限制的估计通常比预先测试或天真地施加限制更可取。
Summary
The literature on the sampling properties of the inequality restricted and pre-test estimators typically assumes a properly specified model and focuses on the estimation of the regression coefficient vector. In this paper, we derive and evaluate the risk functions of these estimators for both the prediction vector and the disturbance variance in a model which is mis-specified through the exclusion of relevant regressors. The results suggest that unrestricted estimation is generally preferable to pre-testing or naively imposing restrictions.