Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators

8 Pages Posted: 15 Jul 2012  

Ai Deng

Bates White Economic Consulting; Advanced Academic Programs, Johns Hopkins University

Date Written: April 1, 2012

Abstract

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

Deng, Ai, Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators (April 1, 2012). Available at SSRN: https://ssrn.com/abstract=2106192 or http://dx.doi.org/10.2139/ssrn.2106192

Ai Deng (Contact Author)

Bates White Economic Consulting ( email )

1300 Eye St NW
Suite 600
Washington, DC DC 20005
United States

Advanced Academic Programs, Johns Hopkins University ( email )

Baltimore, MD 20036-1984
United States

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