Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure

Journal of Econometrics

Volumn 114, Issue 1, 2003, Pages 165-196

  Wan, Alan T K ^a   Zou, Guohua ^b  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^b INSTITUTE OF SYSTEMS SCIENCE   (China)

Author keywords

Entropy loss; First order differentiable; Lebesgue integrable; Linear restrictions; LINEX loss; Quadratic loss; Risk; Variance homogeneity

Indexed keywords

DIFFERENTIATION (CALCULUS); ENTROPY; ERROR ANALYSIS; FUNCTION EVALUATION; INTEGRATION; LINEAR EQUATIONS; MATHEMATICAL MODELS; OPTIMIZATION; PARAMETER ESTIMATION; REGRESSION ANALYSIS; RISK ASSESSMENT; VARIATIONAL TECHNIQUES;

ECONOMETRICS; ERROR VARIANCE ANALYSIS;

STATISTICAL TESTS;

EID: 0346724419     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(02)00224-5     Document Type: Article

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