MSE dominance of the pre-test iterative
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Kazuhiro Ohtani
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Article
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2001
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Elsevier Science
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English
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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 witho