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On Weighted Estimation in Linear Regression in th Presence of Parameter Uncertainty

Judith Clarke ()

No 701, Econometrics Working Papers from Department of Economics, University of Victoria

Abstract: We consider estimating the linear regression model’s coefficients when there is uncertainty about coefficient restrictions. Theorems establish that the mean squared errors of combination estimators, formed as weighted averages of the ordinary least squares and one or more restricted least squares estimators, depend on finding the optimal estimator of a single normally distributed vector. Our results generalize those of Magnus and Durbin (1999) [Magnus, J.R., Durbin, J. 1999. Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica 67, 639-643] and Danilov and Magnus (2004) [Danilov, D., Magnus, J.R. 2004. On the harm that ignoring pretesting can cause. Journal of Econometrics 122, 27-46].

Keywords: Logit; Mean squared error; weighted estimaor; linear restrictions (search for similar items in EconPapers)
JEL-codes: C12 C13 C20 C52 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2007-04-09
New Economics Papers: this item is included in nep-ecm
Note: ISSN 1485-6441
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Journal Article: On weighted estimation in linear regression in the presence of parameter uncertainty (2008) Downloads
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