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The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances

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  • Knight, John. L.

Abstract

This paper derives the exact distribution and moments of the Stein-ruleestimator in a model where the disturbances follow a non-normal distribution of the Edgeworth or Gram-Charlier type. The results are achieved by combining the approach of Davis [4] for examining non-normality with the fractional calculus techniques of Phillips [11].

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  • Knight, John. L., 1986. "The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances," Econometric Theory, Cambridge University Press, vol. 2(2), pages 202-219, August.
    • Handle: RePEc:cup:etheor:v:2:y:1986:i:02:p:202-219_01
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    1. Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation for Research in Economics, Yale University.

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