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

Judith A. Giles and David E. A. Giles

No 263708, Department of Economics Discussion Papers from University of Canterbury - New Zealand

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.

Keywords: Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 29
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263708

DOI: 10.22004/ag.econ.263708

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