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The best quadratic estimator of the residual variance in regression analysis

✍ Scribed by H. Theil; A. Schweitzer


Book ID
115224202
Publisher
John Wiley and Sons
Year
1961
Tongue
English
Weight
188 KB
Volume
15
Category
Article
ISSN
0039-0402

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MSE dominance of the pre-test iterative
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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