On the sampling performance of an inequality pre-test estimator of the regression error variance under LINEX loss |
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Authors: | W J Geng Alan T K Wan |
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Institution: | (1) Department of Economics, University of Western Ontario, N6A 5C2 London, Ontario, Canada;(2) Department of Management Sciences, City University of Hong Kong, Kowloon, Hong Kong |
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Abstract: | We consider the estimation of the error variance of a linear regression model where prior information is available in the
form of an (uncertain) inequality constraint on the coefficients. Previous studies on this and other related problems use
the squared error loss in comparing estimator’s performance. Here, by adopting the asymmetric LINEX loss function, we derive
and numerically evaluate the exact risks of the inequality constrained estimator and the inequality pre-test estimator which
results after a preliminary test for an inequality constraint on the coefficients. The risks based on squared error loss are
special cases of our results, and we draw appropriate comparisons. |
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Keywords: | |
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