The Risk Behavior of a Pre-Test Estimator in a Linear Regression Model with Possible Heteroscedasticity Under the Linex Loss Function

Kazuhiro Ohtani, David E. A. Giles and Judith A. Giles

No 263735, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: In this paper, using the asymmetric LINEX loss function, we examine the risk performance of the ordinary least squares estimator (OLSE), two-stage Aitken estimator (2SAE) and pre-test estimator (PTE) after a pre-test for homoscedasticity in a linear regression model with possible heteroscedasticity. It is shown that the 2SAE is dominated by the PTE with the critical value of unity not only under the quadratic loss function but also under the asymmetric LINEX loss function.

Keywords: Research Methods/Statistical Methods; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 23
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Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263735

DOI: 10.22004/ag.econ.263735

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