The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function

Kazuhiro Ohtani, David Giles and Judith Giles
Authors registered in the RePEc Author Service: Judith Anne Clarke ()

Econometric Reviews, 1997, vol. 16, issue 1, 119-130

Abstract: We examine the risk of a pre-test estimator for regression coefficients after a pre-test for homoskedasticity under the Balanced Loss Function (BLF). We show analytically that the two stage Aitken estimator is dominated by the pre-test estimator with the critical value of unity, even if the BLF is used. We also show numerically that both the two stage Aitken estimator and the pre-test estimator can be dominated by the ordinary least squares estimator when “goodness of fit” is regarded as more important than precision of estimation.

Keywords: balanced loss; heteroskedasticity; sequential estimator; goodness of fit (search for similar items in EconPapers)
Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800376 (text/html)
Access to full text is restricted to subscribers.

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:taf:emetrv:v:16:y:1997:i:1:p:119-130

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800376

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().