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

DOI10.1016/0165-1765(87)90180-7zbMATH Open1328.62057OpenAlexW2041460946MaRDI QIDQ899962FDOQ899962

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

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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (9)

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

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