Exact distribution of a pre-test estimator for regression error variance when there are omitted variables

Kazuhiro Ohtani

Statistics & Probability Letters, 2002, vol. 60, issue 2, 129-140

Abstract: In this paper, we derive the exact distribution of a pre-test estimator for regression error variance when the relevant independent variables are omitted, and show theoretically that the MSE dominance of the Stein variance estimator over the usual estimator is robust to the specification error.

Keywords: MSE; dominance; Pre-test; Specification; error; Stein; variance; estimator (search for similar items in EconPapers)
Date: 2002
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(02)00282-1
Full text for ScienceDirect subscribers only

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:eee:stapro:v:60:y:2002:i:2:p:129-140

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().