The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances
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  for examining non-normality with the fractional calculus techniques of Phillips .
Volume (Year): 2 (1986)
Issue (Month): 02 (August)
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