Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5097213 | Journal of Econometrics | 2007 | 12 Pages |
Abstract
Pre-test estimators (PTE) are considered which are optimal under a Bayes risk among PTE with general measurable sets as “regions of significance” for the test statistic t associated with the estimate of a given regression coefficient. Asymptotic and some finite sample results are stated and numerical experiments are commented on.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
JiÅÃ Reif,