Abstract
Abstract This study is concerned with deriving the properties of the preliminary test estimator for the general linear normal regression model, ascertaining the characteristics of the risk functions over the parameter space, and determining the conditions necessary for the risk of this estimator to exceed or be less than the conventional one under squared error loss. A test procedure and the problem of choosing an optimal level of significance for the test are discussed. Some theorems and lemmas used in evaluating the risk and some properties of functions of the non-central F distribution are developed in the appendices.
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