The exact distribution of the Stein-rule estimator

DOI10.1016/0304-4076(84)90041-1zbMath0559.62010OpenAlexW1998943193MaRDI QIDQ2266304

Peter C. B. Phillips

Publication date: 1984

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d06/d0682.pdf

zbMATH Keywords

momentsWeyl calculusStein-rule estimator

Mathematics Subject Classification ID

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

Related Items (10)

SHRINKAGE EFFICIENCY BOUNDS ⋮ The exact mean squared error of Stein-rule estimator in linear models ⋮ Finite sample moments of a bootstrap estimator of the james-stein rule ⋮ Bootstrapping estimators for the seemingly unrelated regressions model ⋮ Prior information in regression: to choose or not to choose? ⋮ Small sample performance of jackknife confidence intervals for the james-stein estimator ⋮ Shrinkage estimation of panel data models with interactive effects ⋮ Robustness of Stein-type estimators under a non-scalar error covariance structure ⋮ The exact general fomulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators. ⋮ Stein-like 2SLS estimator

Cites Work

• The approximate distribution function of the Stein-rule estimator
• Fractional calculus and its applications. Proceedings of the international conference held at the University of New Haven, June 1974
• On the sampling distribution of improved estimators for coefficients in linear regression
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