Pre-Test Estimation in Regression Under Absolute Error Loss

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.


Issue Date:
Nov 01 1992
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
13
Series Statement:
9210




 Record created 2017-09-28, last modified 2017-09-28

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