Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators
8 Pages Posted: 15 Jul 2012
Date Written: April 1, 2012
For a broad class of linear biased estimators, we establish conditions under which the F statistic based on biased estimators is identical to the F statistic based on least-squares estimator. Several biased estimators in the literature are shown to satisfy these conditions.
Keywords: Biased estimator, F statistic, ridge estimator, shrinkage factor
JEL Classification: C2, C12
Suggested Citation: Suggested Citation