Preliminary Test Estimators Induced by Three Large Sample Tests for Stochastic Constraints in a Regression Model with Multivariate Student-t Error

Xinfeng Chang and Hu Yang

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 17, 3629-3640

Abstract: In this article, we consider the preliminary test approach to the estimation of the regression parameter in a multiple regression model with multivariate Student-t distribution. The preliminary test estimators (PTE) based on the Wald (W), Likelihood Ratio (LR), and Lagrangian Multiplier (LM) tests are given under the suspicion of stochastic constraints occurring. The bias, mean square error matr ix (MSEM), and weighted mean square error (WMSE) of the proposed estimators are derived and compared. The conditions of superiority of the proposed estimators are obtained. Finally, we conclude that the optimum choice of the level of significance becomes the traditional choice by using the W test.

Date: 2014
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DOI: 10.1080/03610926.2012.705207

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