The Traditional Pretest Estimator

The Traditional Pretest Estimator

We consider the problem of estimating k coefficients of interest in a linear regression model when the (k + 1)st coefficient is of no interest. The traditional pretest estimator is a two-step estimator of the coefficients of interest based on a t-test for the (k + 1)st coefficient. We study the beha...

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Veröffentlicht in:Theory of probability and its applications 1999-01, Vol.44 (2), p.293-308
1. Verfasser: Magnus, J. R.
Format: Artikel
Sprache:eng
Schlagworte:
Hypotheses
Regression analysis
Variables
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Zusammenfassung:We consider the problem of estimating k coefficients of interest in a linear regression model when the (k + 1)st coefficient is of no interest. The traditional pretest estimator is a two-step estimator of the coefficients of interest based on a t-test for the (k + 1)st coefficient. We study the behaviorof this estimator. Questions of admissibility, risk, and regret are addressed.
ISSN:0040-585X
1095-7219
DOI:10.1137/S0040585X97977604