Multicollinearity and the Minimax Conditions of the Bock Stein-like Estimator

DOI10.2307/1912358zbMATH Open0396.62050OpenAlexW4232221284MaRDI QIDQ4179701FDOQ4179701

Thomas B. Fomby, R. Carter Hill

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912358

zbMATH Keywords

MulticollinearityBock-VariantJames-Stein EstimatorMinimax Conditions

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Cited In (3)

• Properties of shrinkage estimators in linear regression when disturbances are not normal
• Contracting towards subspaces when estimating the mean of a multivariate normal distribution
• On double \(k\)-class estimators of coefficients in linear regression

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