On preliminary test almost unbiased two-parameter estimator in linear regression model with student's t errors

Xinfeng Chang

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 3, 583-600

Abstract: In this paper, the preliminary test approach to the estimation of the linear regression model with student's t errors is considered. The preliminary test almost unbiased two-parameter estimator is proposed, when it is suspected that the regression parameter may be restricted to a constraint. The quadratic biases and quadratic risks of the proposed estimators are derived and compared under both null and alternative hypotheses. The conditions of superiority of the proposed estimators for departure parameter and biasing parameters k and d are derived, respectively. Furthermore, a real data example and a Monte Carlo simulation study are provided to illustrate some of the theoretical results.

Date: 2018
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DOI: 10.1080/03610926.2017.1309433

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