Some improved estimators in the case of possible heteroscedasticity

DOI10.1016/0304-4076(84)90042-3zbMath0559.62098OpenAlexW1991004598MaRDI QIDQ2266340

Yanyan Li

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90042-3

zbMATH Keywords

heteroscedasticitysquared error lossinadmissibilitypre-test estimatorsampling propertiescommon location vectorStein-like estimatorstraditional estimatorstwo-sample linear statistical model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)

Related Items

Shrinkage domination of some usual estimators of the common mean of several multivariate normal populations, The density function and the MSE dominance of the pre-test estimator in a heteroscedastic linear regression model with omitted variables, The exact risk performance of a pre-test estimator in a heteroskedastic linear regression model under the balanced loss function, On a relationship between minimax-linear and admissible estimators in linear regression, Some risk results for a two-stage pre-test estimator in the case of possible heteroskedasticity, Minimax estimation of common coefficients of several regression models under quadratic loss

Cites Work

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• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• Bounds for the Covariance Matrices of Zellner's Estimator in the SUR Model and the 2SAE in a Heteroscedastic Model
• Small Sample Properties of a Class of Two Stage Aitken Estimators
• The Heteroscedastic Linear Model: Exact Finite Sample Results