Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators

8 Pages Posted: 15 Jul 2012

See all articles by Ai Deng

Ai Deng

Charles River Associates; 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)

Charles River Associates ( email )

1201 F Street NW
Suite 800
Washington, DC DC 20004
United States

Johns Hopkins University ( email )

1717 Massachusetts Ave NW
Washington, DC DC 20036
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
109
Abstract Views
1,252
Rank
455,461
PlumX Metrics