Clarke, Judith A.; Giles, David E. A.; Wallace, T. Dudley - In: Econometric Theory 3 (1987) 02, pp. 299-304
We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with least squares, maximum likelihood and minimum mean squared error component estimators. Of these...