Abstract

https://ssrn.com/abstract=2106192
 
 

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Hypothesis Testing When a Linear Regression is Estimated by Biased Estimators


Ai Deng


Bates White Economic Consulting

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.

Number of Pages in PDF File: 8

Keywords: Biased estimator, F statistic, ridge estimator, shrinkage factor

JEL Classification: C2, C12


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Date posted: July 15, 2012  

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

Contact Information

Ai Deng (Contact Author)
Bates White Economic Consulting ( email )
1300 Eye St NW
Suite 600
Washington, DC DC 20005
United States
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