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In particular, we consider the regression model \\(Y=X\\beta+\\varepsilon\\), where \\(Y\\) is an \\(m\\)-vector of observations, \\(X\\) is a known \\(m\\times k\\) matrix, \\(\\beta\\) is an unknown \\(k\\)-vector, and \\(\\varepsilon\\) is an \\(m\\)-vector of unobservable random variables. The problem is squared error loss estimation of \\(\\beta\\) based on some ``previous'' data \\(Y_1,\\dots,Y_n\\) as well as the ``current'' data vector \\(Y\\) when \\(\\beta\\) is distributed according to some unknown distribution \\(G\\), where \\(Y_i\\) satisfies \\(Y_i=X\\beta_i+\\varepsilon_i\\), \\(i=1,\\dots,n\\).   We construct a new empirical Bayes estimator of \\(\\beta\\) when \\(\\varepsilon_i\\sim N(0,\\sigma^2I_m)\\), \\(i=1,\\dots,n\\). The performance of the proposed empirical Bayes estimator is measured using the mean squared error. The rates of convergence of the mean squared error are 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