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The exact distribution and density functions of a pre-test estimator of the error variance in a linear regression model with proxy variables

✍ Scribed by Hiroko Kurumai; Kazuhiro Ohtani

Publisher
Springer-Verlag
Year
1998
Tongue
English
Weight
594 KB
Volume
39
Category
Article
ISSN
0932-5026

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Suppose \(Y\) has a linear regression on \(X_{1}, X_{2}\), but observations are only available on \(\left(Y, X_{1}\right)\). If large scale data on \(\left(X_{1}, X_{2}\right)\) are available, which do not include \(Y\), and if the regression of \(X_{2}\), given \(X_{1}\), is nonlinear, then one may