Preliminary-Test Estimation of th Regression Scale Parameter When the Loss Function is Asymmetric

Various studies have considered the risk properties under Quadratic loss, of estimators of the scale parameter after a preliminary test for exact linear restrictions on the regression coefficients. This loss function is symmetric though, arguably, under-estimation of the scale has greater consequences than over-estimation. In this paper we consider the LINEX loss function, which allows for an asymmetric penalty. We derive the exact risk of estimators of the error variance after a pre-test of exact restrictions and we numerically evaluate the derived expressions. The results are compared with those under quadratic loss so that the effects of the asymmetry can be ascertained.


Issue Date:
Mar 03 1991
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
30
Series Statement:
9104




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

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