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Risk Comparison of Inequality Constrained Estimators in the Heteroscedastic Linear Model
Author(s) -
Hasegawa Hikaru
Publication year - 1998
Publication title -
australian and new zealand journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 1369-1473
DOI - 10.1111/1467-842x.00019
Subject(s) - homoscedasticity , heteroscedasticity , mathematics , estimator , linear regression , econometrics , statistics
There exist many studies which treat the inequality and/or interval constraints on coefficients in the homoscedastic linear regression model. However, the sampling performance of the inequality constrained estimators in the heteroscedastic linear model has not been examined. This paper considers the inequality constrained estimators in the heteroscedastic linear regression model and derives their risks under a quadratic loss function. Furthermore, using the inequality constrained estimators, we introduce a pre‐test estimator which might be employed after the test for homoscedasticity and derive its risk. In addition, the risk performance of these estimators is evaluated numerically.