Exact Results on the Inadmissibility of the Feasible Generalized Least Squares Estimator in Regression Models with Non-Spherical Disturbances

DOI10.1002/1521-4036(200008)42:4%3C481::AID-BIMJ481%3E3.0.CO;2-VMaRDI QIDQ4518271zbMATH OpenOpenAlexFDO

Authors Anoop Chaturvedi, Alan T. K. Wan

Publication date 19 February 2001

Full work available at URL https://doi.org/10.1002/1521-4036(200008)42:4%3C481::aid-bimj481%3E3.0.co;2-v

zbMATH Keywords

dominanceinadmissibilitysquared error lossAR(1) disturbancesfeasible generalized least squares

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

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Cites work

• scientific article; zbMATH DE number 193897 (Why is no real title available?)
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• Admissibility: Survey of a Concept in Progress
• Bounds for normal approximations to the distributions of generalized least squares predictors and estimators
• Estimation with quadratic loss.
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• Useful invariance results for generalized regression models

Cited in

(3)

• Efficiency properties of feasible generalized least squares estimators in SURE models under non-normal disturbances
• A note on Stein-type shrinkage estimator in partial linear models
• scientific article; zbMATH DE number 1143628 (Why is no real title available?)

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