MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression

✍ Scribed by Kazuhiro Ohtani

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 111 KB
• Volume: 54
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(01)00131-6

✦ Synopsis

In this paper, we examine the small sample properties of the pre-test iterative variance estimator in regression. The explicit formula of MSE is derived, and it is shown that the pre-test iterative variance estimator with an appropriate critical value dominates the iterative variance estimator without pre-testing in terms of MSE. We also compare the MSE performances of the pre-test iterative variance estimators using the Stein-rule, minimum mean squared error, and adjusted minimum mean squared error estimators by numerical evaluations.