Further results on optimal critical values of pre-test when estimating the regression error variance

Alan Wan (msawan@cityu.edu.hk), Guohua Zou and Kazuhiro Ohtani

Econometrics Journal, 2006, vol. 9, issue 1, 159-176

Abstract: 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

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (3)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ect:emjrnl:v:9:y:2006:i:1:p:159-176

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing (jdl@wiley.com) and Christopher F. Baum (baum@bc.edu).