MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression

Kazuhiro Ohtani

Statistics & Probability Letters, 2001, vol. 54, issue 3, 331-340

Abstract: In this paper, we examine the small sample properties of the pre-test iterative variance estimator in regression. The explicit formula of MSE is derived, and it is shown that the pre-test iterative variance estimator with an appropriate critical value dominates the iterative variance estimator without pre-testing in terms of MSE. We also compare the MSE performances of the pre-test iterative variance estimators using the Stein-rule, minimum mean squared error, and adjusted minimum mean squared error estimators by numerical evaluations.

Keywords: Iterative; variance; estimator; Mean; squared; error; Pre-test; Regression; error; variance (search for similar items in EconPapers)
Date: 2001
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