ON SMALL SAMPLE PROPERTIES OF ESTIMATORS AFTER A PRELIMINARY TEST OF INDEPENDENCE IN A CONSTRAINED BIVARIATE LINEAR REGRESSION MODEL

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  • On Small Sample Properties of Estimator

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In this paper, following Tiao, Tan and Chang (1977), we consider a constrained bivariate linear regression model and introduce two types of estimators after a preliminary test of independence of two equations. One of them is a pre-test estimator using an unrestricted estimator of covariance matrix and the other is one using a restricted estimator of covariance matrix. We derive their risks and compare sampling performances of several estimators.

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