SMALL SAMPLE PROPERTIES OF R-SQUARED WHEN A PRE-TEST FOR LINEAR RESTRICTIONS ON REGRESSION COEFFICIENTS IS CONDUCTED

• 大谷 一博

抄録

In this paper, we examine the small sample properties of the coefficient of determination (say, R^2) when a model is selected by a pre-test for linear restrictions on regression coefficients. We derive the general formula for the moment of the pre-test estimator for R^2, and compare the bias and MSE of the pre-test estimator for R^2 with those of the usual R^2. Our numerical results show that although the bias of the pre-test estimator for R^2 is smaller than that of the usual R^2, the MSE performance depends on the size of the pre-test.

収録刊行物

• Kobe University Economic Review

  Kobe University Economic Review 48 29-39, 2002

  神戸大学大学院経済学研究科

詳細情報

• CRID: 1390009224929547776
• NII論文ID: 110005859509
• NII論文ID: 120005476652
• NII書誌ID: AA00261065
• DOI: 10.24546/81000935
• HANDLE: 20.500.14094/81000935
• ISSN: 04541111
• 本文言語コード: en
• データソース種別:
  • JaLC
  • IRDB
  • CiNii Articles
• 抄録ライセンスフラグ: 使用可