Risk of a homoscedasticity pre-test estimator of the regression scale under LINEX loss. (English) Zbl 0847.62054
Summary: We consider the risk of an estimator of the error variance after a pre-test for homoscedasticity of the variances in the two-sample heteroscedastic linear regression model. This particular pre-test problem has been well investigated but always under the restrictive assumption of a squared error loss function. We consider an asymmetric loss function – the LINEX loss function – and derive the exact risks of various estimators of the error variance.
Keywords:
estimators of error variance; preliminary test; pre-test; homoscedasticity; two-sample heteroscedastic linear regression model; squared error loss; asymmetric loss; LINEX loss; exact risksReferences:
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