ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
AbstractThis paper investigates the predictive mean squared error performance of a modified double k-class estimator by incorporating the Stein variance estimator. Recent studies show that the performance of the Stein rule estimator can be improved by using the Stein variance estimator. However, as we demonstrate below, this conclusion does not hold in general for all members of the double k-class estimators. On the other hand, an estimator is found to have smaller predictive mean squared error than the Stein variance-Stein rule estimator, over quite large parts of the parameter space.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 21 (2002)
Issue (Month): 1 ()
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Find related papers by JEL classification:
- JEL - Labor and Demographic Economics - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- pri - - - - - -
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- sec - - - - - -
- C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
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