On the sampling distribution of improved estimators for coefficients in linear regression

DOI10.1016/0304-4076(74)90036-0MaRDI QIDQ1845595zbMATH OpenOpenAlexFDO

Authors Aman Ullah

Publication date 1974

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(74)90036-0

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Linear regression; mixed models (62J05)

Cites work

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• Estimation with quadratic loss.
• Improved Estimators for Coefficients in Linear Regression
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables

Cited in

(13)

• A bias-adjusted LM test of error cross-section independence
• Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction
• MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
• The exact distribution of the Stein-rule estimator
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• Estimation of several intraclass correlation coefficients
• The asymptotic expansion of the Stein estimators for the vector case
• On the calculation of the moments of several econometric estimators
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• The exact mean squared error of Stein-rule estimator in linear models
• The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators.
• A simple form for the inverse moments of non-central \(\chi ^ 2\) and F random variables and certain confluent hypergeometric functions
• The asymptotic expansion as well as the exact moments of the Stein estimator when the population means are nearly equal

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