Zhu, Rong; Zhou, Sherry Z.F. - In: Computational Statistics & Data Analysis 55 (2011) 7, pp. 2312-2323
This paper considers the estimation of the error variance after a pre-test of an interval restriction on the coefficients. We derive the exact finite sample risks of the interval restricted and pre-test estimators of the error variance, and examine the risk properties of the estimators to model...