On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors

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This paper investigates the performance of biased estimators in the linear regression model when the assumption of homoscedasticity is not satisfied. Conditions are derived which show when OLS and GLS are dominated by shrinkage estimators with respect to various mean square error criteria. Specific attention is paid to the case when the covariance matrix of the disturbances is not completely known.

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A note on the performance of biased estimators with autocorrelated errors
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scientific article; zbMATH DE number 6681928 (Why is no real title available?)
Ridge estimator with correlated errors and two-stage ridge estimator under inequality restrictions
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Corrigendum: On the asymptotic bias and mean squared error of an improved estimator for coefficients in linear regression
A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors