The exact distribution of the Stein-rule estimator
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- 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.
References listed on IDEAS
- Ullah, Aman, 1974. "On the sampling distribution of improved estimators for coefficients in linear regression," Journal of Econometrics, Elsevier, vol. 2(2), pages 143-150, July.
- Phillips, Peter C B, 1985. "The Exact Distribution of the SUR Estimator," Econometrica, Econometric Society, vol. 53(4), pages 745-756, July.
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- Phillips, P C B, 1986. "The Exact Distribution of the Wald Statistic," Econometrica, Econometric Society, vol. 54(4), pages 881-895, July.
- Zhang, Xinyu & Chen, Ti & Wan, Alan T.K. & Zou, Guohua, 2009. "Robustness of Stein-type estimators under a non-scalar error covariance structure," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2376-2388, November.
- Peter C.B. Phillips, 1983. "The Exact Distribution of Zellner's SUR," Cowles Foundation Discussion Papers 680, Cowles Foundation for Research in Economics, Yale University.
- 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.
- Peter C.B. Phillips, 1990. "Operational Algebra and Regression t-Tests," Cowles Foundation Discussion Papers 948, Cowles Foundation for Research in Economics, Yale University.
- 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.
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