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Restricted least squares, pre-test, ols and stein rule estimators: Risk comparisons under model misspecification

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  • Mittelhammer, R.C.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 25 (1984)
Issue (Month): 1-2 ()
Pages: 151-164

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Handle: RePEc:eee:econom:v:25:y:1984:i:1-2:p:151-164

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Namba, Akio & Ohtani, Kazuhiro, 2006. "PMSE performance of the Stein-rule and positive-part Stein-rule estimators in a regression model with or without proxy variables," Statistics & Probability Letters, Elsevier, vol. 76(9), pages 898-906, May.
  2. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.
  3. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
  4. Ohtani, Kazuhiro, 1996. "Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 191-199, September.
  5. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
  6. Kazuhiro Ohtani, 1998. "An MSE comparison of the restricted Stein-rule and minimum mean squared error estimators in regression," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 7(2), pages 361-376, December.

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