Dropping variables versus use of proxy variables in linear regression

DOI10.1016/0378-3758(95)00045-3MaRDI QIDQ1918145zbMATH OpenOpenAlexWikidataFDO

Authors Götz Trenkler, Peter Stahlecker

Publication date 18 July 1996

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(95)00045-3

zbMATH Keywords

dropping variablesleast squares estimatormatrix mean square error criterionmatrix superiorityproxiesproxy variables

Mathematics Subject Classification ID

Admissibility in statistical decision theory (62C15) Linear regression; mixed models (62J05)

Recommendations

• Proxies versus omitted variables in regression analysis
• Properties of the ordinary least squares and stein-rule predictions in linear regression models with proxy variables
• PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables
• Proxy and instrumental variable methods in a regression model with one of the regressors missing

Cites work

• A Note on the Use of Proxy Variables
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• Admissible linear estimators in restricted linear models
• Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
• Correction to Estimation of parameters in a linear model
• scientific article; zbMATH DE number 3849412 (Why is no real title available?)
• scientific article; zbMATH DE number 3599370 (Why is no real title available?)
• scientific article; zbMATH DE number 3604250 (Why is no real title available?)
• MSE dominance of least squares with errors-of-observation
• Nonnegative and positive definiteness of matrices modified by two matrices of rank one
• Recursive estimation in econometrics
• Relative Asymptotic Bias from Errors of Omission and Measurement

Cited in

(5)

• PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables
• The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance
• PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables
• The role of proxy information in missing data analysis
• MSE-improvement of the least squares estimator by dropping variables

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