A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator

DOI10.1016/0165-1765(86)90184-9MaRDI QIDQ899840zbMATH OpenOpenAlexFDO

Authors Kazuhiro Ohtani

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90184-9

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to economics (62P20)

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• The approximate distribution function of the Stein-rule estimator
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Cites work

• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
• Bounds of the F-ratio incorporating the ordinary ridge regression estimator
• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3614055 (Why is no real title available?)
• On assessing the precision of Stein's estimator
• The approximate distribution function of the Stein-rule estimator
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model

Cited in

(3)

• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• The approximate distribution function of the Stein-rule estimator
• Distribution of a generalized t ratio

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