Preliminary test Liu estimators based on the conflicting W,LR and LM tests in a regression model with multivariate Student-<Emphasis Type="Italic">t</Emphasis> error |
| |
Authors: | Hu?Yang Email author" target="_blank">Jianwen?XuEmail author |
| |
Institution: | 1.Department of Statistics and Actuarial Science,Chongqing University,Chongqing,China |
| |
Abstract: | In this paper, the problem of estimation of the regression coefficients in a multiple regression model with multivariate Student-t error is considered under the multicollinearity situation when it is suspected that the regression coefficients may be restricted
to a linear manifold. The preliminary test Liu estimators (PTLE) based on the Wald, Likelihood ratio (LR) and Lagrangian multiplier
(LM) tests are given. The bias and mean square error (MSE) of the proposed estimators are derived and conditions of superiority
of these estimators are provided. In particular, we show that in the neighborhood of the null hypothesis, the PTLE based on
the LM test has the best performance followed by the estimators based on LR and W tests, while the situation is reversed when
the parameter moves away from the manifold of the restriction. Furthermore, the optimum choice of the level of significance
is also discussed. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|