PMSE performance of two different types of preliminary test estimators under a multivariate t error term |
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| Authors: | Haifeng Xu Kazuhiro Ohtani |
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| Affiliation: | 1. Department of Statistics, School of Economics, Xiamen University and Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, Xiamen, People's Republic of China;2. xhf1984@hotmail.co.jp;4. Graduate School of Economics, Kobe University, Kobe, Japan |
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| Abstract: | AbstractIn this paper, assuming that the error terms follow a multivariate t distribution, we derive the exact formula for the predictive mean squared error (PMSE) of two different types of pretest estimators. It is shown analytically that one of the pretest estimator dominates the SR estimator if a critical value of the pretest is chosen appropriately. Also, we compare the PMSE of the pretest estimators with the MMSE, AMMSE, SR and PSR estimators by numerical evaluations. Our results show that the pretest estimators dominate the OLS estimator for all combinations when the degrees of freedom is not more than 5. |
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| Keywords: | Predictive mean squared error homogeneous preliminary test estimator heterogeneous preliminary test estimator multivariate t error term |
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