Download This PaperHypothesis Testing When a Linear Regression is Estimated by Biased Estimators
8 Pages Posted: 15 Jul 2012
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: 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
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