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Pre-test estimation under squared error loss |
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| Authors: | GG Judge TA Yancey ME Bock |
| Institution: | University of Illinois, Urbana, IL 61801, USA;Purdue University, West Lafayette, IN 47907, USA |
| Abstract: | This paper specifies a pre-test estimator for conditions normally fulfilled in econometric practice, analytically evaluates its risk and demonstrates it is, under a squared error loss measure, superior to other traditional and non-traditional pre-test estimators. |
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