Risk comparison of the inequality constrained least squares and other related estimators under balanced loss
This paper considers the risks of the inequality constrained least squares and pre-test estimators using the balanced loss function proposed by Zellner. It is found that some of the well-known results which hold under squared error loss do not necessarily hold under a balanced loss function.
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| Veröffentlicht in: | Economics letters 1994-11, Vol.46 (3), p.203-210 |
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| container_end_page | 210 |
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| container_issue | 3 |
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| container_title | Economics letters |
| container_volume | 46 |
| creator | Wan, Alan T.K. |
| description | This paper considers the risks of the inequality constrained least squares and pre-test estimators using the balanced loss function proposed by Zellner. It is found that some of the well-known results which hold under squared error loss do not necessarily hold under a balanced loss function. |
| doi_str_mv | 10.1016/0165-1765(94)00485-4 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 1994-11, Vol.46 (3), p.203-210 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38613153 |
| source | RePEc; Periodicals Index Online; ScienceDirect Journals (5 years ago - present) |
| subjects | Regression analysis Risk Statistical methods |
| title | Risk comparison of the inequality constrained least squares and other related estimators under balanced loss |
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