Pre-Testing in a Mis-Specified Regression Model

Judith A. Giles

No 263000, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: We consider the pre-test estimation of . the parameters of a linear regression model after a preliminary-test for exact linear restrictions when the model is mis-specified through the omission of relevant regressors and the usual assumption of normal regression disturbances is widened to a subclass of the family of spherically symmetric errors. We derive and analyse the exact risk (under quadratic loss) of a pre-test estimator of the prediction vector and of the scale parameter.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 22
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263000

DOI: 10.22004/ag.econ.263000

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