On the sampling distribution of improved estimators for coefficients in linear regression
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 2 (1974)
Issue (Month): 2 (July)
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Web page: http://www.elsevier.com/locate/jeconom
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- Ohtani, Kazuhiro & Kozumi, Hideo, 1996. "The exact general formulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators," Journal of Econometrics, Elsevier, vol. 74(2), pages 273-287, October.
- Pesaran, M. H. & Yamagata, T., 2012. "Testing CAPM with a Large Number of Assets (Updated 28th March 2012)," Cambridge Working Papers in Economics 1210, Faculty of Economics, University of Cambridge.
- Peter C.B. Phillips, 1983.
"The Exact Distribution of the Stein-Rule Estimator,"
Cowles Foundation Discussion Papers
682, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1984. "The exact distribution of the Stein-rule estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 123-131.
- Pesaran, M. Hashem & Yamagata, Takashi, 2012.
"Testing CAPM with a Large Number of Assets,"
IZA Discussion Papers
6469, Institute for the Study of Labor (IZA).
- repec:wyi:wpaper:002001 is not listed on IDEAS
- John Chao, 2000. "On the Bias and MSE of the IV Estimator Under Weak Identification," Econometric Society World Congress 2000 Contributed Papers 1622, Econometric Society.
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