Asymptotic risk comparisions of restricted and unrestricted maximum likelihood estimators |
| |
| Authors: | Lonnie Magee |
| |
| Affiliation: | Economies Dept , McMaster University , Hamilton, Ontario, L8S 4M4, Canada |
| |
| Abstract: | Conditions for choosing between restricted and unrestrieted maximum likelihood estimators based on various asymptotic risk oriteria are derived. These conditions involve the non-centrality parameters of classical and specification test statistics, and are generlizations of well known results for the linear regression model. |
| |
| Keywords: | asymptotic mean square error classical tests specification tests non-centrality parameters pre-testing |
|
|
