Mes performance of the minimum mean squared error estimators in a linear regression model when relevant regressors are omitted

DOI10.1080/00949659808811902zbMath0940.62062OpenAlexW2080176611MaRDI QIDQ4253296

Kazuhiro Ohtani

Publication date: 17 July 2000

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659808811902

zbMATH Keywords

Stein-rule estimatorsminimum mean squared error estimatorsomitted regressors

Mathematics Subject Classification ID

Related Items (6)

Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted. ⋮ PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables ⋮ A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables ⋮ Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model

Cites Work

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• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• On the minimum mean squared error estimators in a regression model
• Exact small sample properties of an operational variant of the minimum mean squared error estimator
• Comparison of operational variants of Best homogeneous and heterogeneous estimators in linear regression

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