Pre-Testing in a Mis-Specified Regression Model

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.


Issue Date:
Nov 11 1990
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
22
Series Statement:
9013




 Record created 2017-09-12, last modified 2017-09-12

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