基于W, LR和LM检验的预检验两参数估计
Preliminary Test Two-Parameter Estimators Based on W, LR and LM Test-Statistics in a Regression Model
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摘要: 本文讨论带等式约束的线性模型, 随机误差向量服从多元正态分布, 当附加的约束条件不确定时, 提出了基于W检验, LR检验和LM检验的预检验两参数估计, 并对估计优良性进行分析.Abstract: In this paper, we proposed the preliminary test two-parameter estimators based on the Wald (W), the Likelihood Ration (LR) and the Lagrangian Multiplier (LM) tests, when it is suspected that the regression parameter may be restricted to a subspace. The bias and the mean square error (MSE) of the proposed estimators are derived and compared. The conditions of superiority of the proposed estimators are obtained.