Title: Preliminary test estimation in system regression models using asymmetric loss functions
Authors: Judy Kleyn - University of Pretoria (South Africa) [presenting]
Sollie Millard - University of Pretoria (South Africa)
Mohammad Arashi - Shahrood University of Technology (Iran)
Abstract: The system regression model is considered. We study the performance of the feasible preliminary test estimator both analytically and computationally, under the assumption that constraints may hold on the vector parameter space. This performance is analysed through a Monte Carlo simulation study under bounded and or asymmetric loss functions. An application of the so-called Cobb Douglas production function in economic modelling together with the results from the simulation study shows that the bounded linear exponential loss function outperforms the linear exponential loss function by comparing risk values.