Pre-Test Estimation in Regression Under Absolute Error Loss

David E. A. Giles

No 263702, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: We consider the risks of the Ordinary Least Squares, Restricted Least Squares and Pre-Test estimators of a regression coefficient under absolute error loss. These results are compared with their quadratic loss counterparts, and similar regions of risk dominance are found to hold, at least qualitatively.

Keywords: Productivity Analysis; Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 13
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263702

DOI: 10.22004/ag.econ.263702

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