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Performance of the 2SHI Estimator under the Generalised Pitman Nearness Criterion

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Abstract

This paper condiders an extension of Tran Van Hoa's family of 2SHI (two stage hierarchical information) estimators for the coefficient vector of a linear regression model and derives the conditions for the dominance of 2SHI estimator over the OLS and Stein rule estimators under a Generalised Pitman Nearness (GPN) criterion when the disturbance variable is small.

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File URL: http://www.uow.edu.au/content/groups/public/@web/@commerce/@econ/documents/doc/uow012251.pdf
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Bibliographic Info

Paper provided by School of Economics, University of Wollongong, NSW, Australia in its series Economics Working Papers with number wp99-4.

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Length: 11 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:uow:depec1:wp99-4

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Postal: School of Economics, University of Wollongong, Northfields Avenue, Wollongong NSW 2522 Australia
Phone: +612 4221-3659
Fax: +612 4221-3725
Web page: http://business.uow.edu.au/econ/index.html
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Keywords: ESTIMATOR ; ECONOMETRICS ; REGRESSION ANALYSIS;

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  1. Van Hoa, Tran, 1985. "The inadmissibility of the Stein estimator in normal multiple regression equations," Economics Letters, Elsevier, vol. 19(1), pages 39-42.
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Cited by:
  1. Tran Van Hoa, 2003. "New Asian Regionalism: Evidence of ASEAN+3 Free Trade Agreement From Extended Gravity Theory and New Modelling Approach," Economics Working Papers wp03-03, School of Economics, University of Wollongong, NSW, Australia.
  2. Tran Van Hoa, 2004. "Australia-Thailand Free Trade Agreement: Challenges and Opportunities for Bilateral Trade Policy and Closer Economic Relations," Economics Working Papers wp04-12, School of Economics, University of Wollongong, NSW, Australia.
  3. Akio Namba, 2001. "MSE performance of the 2SHI estimator in a regression model with multivariate t error terms," Statistical Papers, Springer, vol. 42(1), pages 81-96, January.
  4. Tran Van Hoa, 2002. "WTO Membership for China and Its Impact on Growth, Investment and Consumption: A New Flexible Keynesian Approach," Economics Working Papers wp02-04, School of Economics, University of Wollongong, NSW, Australia.
  5. Tran Van Hoa, 2000. "Recent Significant Advances in Estimating and Forecasting Theories and Economic Modelling: With Applications to Asian Investment Studies," Economics Working Papers wp00-01, School of Economics, University of Wollongong, NSW, Australia.
  6. Tran Van Hoa, 2003. "Growth of Asian Regional Trade and Income Convergence: Evidence from ASEAN+3 Based on Extended Helpman-Krugman Hypothesis and Flexible Modelling Approach," Economics Working Papers wp03-02, School of Economics, University of Wollongong, NSW, Australia.

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