Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators
Bates White Economic Consulting
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.
Number of Pages in PDF File: 8
Keywords: Biased estimator, F statistic, ridge estimator, shrinkage factor
JEL Classification: C2, C12
Date posted: July 15, 2012