The inadmissibility of the Stein estimator in normal multiple regression equations

DOI10.1016/0165-1765(85)90099-0MaRDI QIDQ373792zbMATH OpenOpenAlexFDO

Authors Tran Van Hoa

Publication date 25 October 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(85)90099-0

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Admissibility in statistical decision theory (62C15)

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Cites work

• Estimation of the mean of a multivariate normal distribution
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables

Cited in

(10)

• Some dominance theorems on the double-k class estimator in linear models
• Performance of the 2SHI estimator under the generalised pitman nearness criterion
• MSE performance of the 2SHI estimator in a regression model with multivariate \(t\) error terms
• Improved estimates and forecasts of error correction models in economics
• Improved estimators in some linear errors-in-variables models in finite samples
• The inadmissibility of the 2SLS estimator in linear structural equations
• The informational gain from Stein and hierarchial Stein estimators
• The necessary and sufficient conditions for the uniform dominance of the two-stage Stein estimators
• Inadmissibility of the Stein-rule estimator under the balanced loss function
• Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances

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