The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance

DOI10.1007/S00362-009-0220-1MaRDI QIDQ451426zbMATH OpenOpenAlexFDO

Authors Deniz Ünal

Publication date 23 September 2012

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-009-0220-1

zbMATH Keywords

proxy variable

Mathematics Subject Classification ID

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

Recommendations

• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• Comparison of the iterative Stein-rule and the usual estimators of the disturbance variance under the Pitman nearness criterion in a linear regression model with proxy variables
• A note on inadmissibility of the iterative Stein-rule estimator of the disturbance variance
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression
• More on the inadmissability of the iterative Stein-Rule estimator of the disturbance variance in a linear regression

Cites work

• A Note on the Use of Proxy Variables
• Dropping variables versus use of proxy variables in linear regression
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3604250 (Why is no real title available?)
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression
• MSE dominance of least squares with errors-of-observation
• PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables
• Relative Asymptotic Bias from Errors of Omission and Measurement
• The double noncentral F distribution in a regression model with proxy variables
• The Use of Proxy Variables when One or Two Independent Variables are Measured with Error

Cited in

(5)

• A note on the performance of biased estimators with autocorrelated errors
• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• A note on inadmissibility of the iterative Stein-rule estimator of the disturbance variance
• Comparison of the iterative Stein-rule and the usual estimators of the disturbance variance under the Pitman nearness criterion in a linear regression model with proxy variables
• Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression

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