Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression

DOI10.1016/0165-1765(87)90180-7MaRDI QIDQ899962zbMATHOpenAlexFDO

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(87)90180-7

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)

Recommendations

• More on the inadmissability of the iterative Stein-Rule estimator of the disturbance variance in a linear regression
• A note on inadmissibility of the iterative Stein-rule estimator of the disturbance variance
• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance
• STEIN-RULE RESTRICTED REGRESSION ESTIMATOR IN A LINEAR REGRESSION MODEL WITH NONSPHERICAL DISTURBANCES

Cites work

• An Explicit Solution for Generalized Ridge Regression
• Estimation with quadratic loss.
• Simulation and Extension of a Minimum Mean Squared Error Estimator in Comparison with Stein's
• The Minimum Mean Square Error Linear Estimator and Ridge Regression
• The approximate distribution function of the Stein-rule estimator

Cited in

(9)

• MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression
• A note on inadmissibility of the iterative Stein-rule estimator of the disturbance variance
• The iterative Stein rule estimator of the disturbance variance in a linear regression model when the proxy variables are used
• Inadmissibility of the Stein-rule estimator under the balanced loss function
• 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
• An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss
• The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance
• More on the inadmissability of the iterative Stein-Rule estimator of the disturbance variance in a linear regression
• A note on the performance of biased estimators with autocorrelated errors

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