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PRELIMINARY TEST PREDICTOR IN THE LINEAR REGRESSION MODEL INCLUDING A PROXY VARIABLE

1983
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Journal of the Japan Statistical Society, Japanese Issue
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In this paper, we show the mean square error of the pre-test predictor in the linear regression model including a proxy variable, and compare the mean square errors of the weighted average predictor and the pre-test predictor. where where c is the critical value in the pre-test. Since we can derive the MSE of the pre-test predictor by the way parallel to Toyoda [14, Appendix], we omit the detailed derivation. Performing some tedious calculations, we obtain where P(a,b)(01, 02; T) is given in

doi:10.11329/jjss1970.13.11
fatcat:zixduf36wrcmpomeojxnzf4wmi