On the Size Corrected Tests in Improved Estimation
Article
Article Title | On the Size Corrected Tests in Improved Estimation |
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ERA Journal ID | 786 |
Article Category | Article |
Authors | Hoque, Z. (Author), Billah, B. (Author) and Khan, S. (Author) |
Journal Title | Calcutta Statistical Association Bulletin |
Journal Citation | 57 (3-4), pp. 143-160 |
Number of Pages | 17 |
Year | 2005 |
Place of Publication | India |
ISSN | 0008-0683 |
Digital Object Identifier (DOI) | https://doi.org/10.1177/0008068320050301 |
Web Address (URL) | https://journals.sagepub.com/doi/abs/10.1177/0008068320050301 |
Abstract | In this paper we propose shrinkage preliminary test estimator (SPTE) of the coefficient vector in the multiple linear regression model based on the size corrected Wald (W), likelihood ratio (LR) and Lagrangian multiplier (LM) tests. The correction factors used are those obt,ained from degrees of freedom corrections to the estimate of the error variance and those obtained from the secondorder Edgeworth approximations to the exact distributions of the test statistics. The bias and weighted mean squared error (WMSE) fun ctions of the estimators are derived. With respect to WMSE, the relative efficiencies of the SPTEs relative to the maximum likelihood estimator are calculated. This study shows that the amount of conflict can be substantial when the three t ests are based on the same asymptotic chisquare critical value. The conflict among the SPTEs is due to the asymptotic tests not having the correct significance level. The Edgeworth size corrected W, LR and LM tests reduce the conflict remarkably. |
Keywords | Shrinkage preliminary test estimator; Wald, likelihoodratio and Lagrangian multiplier tests; bias and quadratic bias;%weighted mean squared error; relative efficiency; and conflicts. |
ANZSRC Field of Research 2020 | 490501. Applied statistics |
Public Notes | The accessible file is the accepted version of the paper. Please refer to the URL for the published version. |
Byline Affiliations | University of Newcastle |
Monash University | |
Department of Mathematics and Computing |
https://research.usq.edu.au/item/9xwq0/on-the-size-corrected-tests-in-improved-estimation
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