Improved Estimation in Measurement Error Models Through Stein Rule Procedure
This paper examines the role of Stein estimation in a linear ultrastructural form of the measurement errors model. It is demonstrated that the application of Stein rule estimation to the matrix of true values of regressors leads to the overcoming of the inconsistency of the least squares procedure and yields consistent estimators of regression coefficients. A further application may improve the efficiency properties of the estimators of regression coefficients. It is observed that the proposed family of estimators under some constraint on the characterizing scalar dominates the conventional consistent estimator with respect to the criterion of asymptotic risk under a specific quadratic loss function. Then the problem of prediction of the values of the study variable within the sample is considered, and it is found that the predictors based on the proposed family of estimators are always more efficient than the predictors based on the conventional estimator according to asymptotic predictive mean squared error criterion, although both are biased.
Volume (Year): 67 (1998)
Issue (Month): 1 (October)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Moran, P. A. P., 1971. "Estimating structural and functional relationships," Journal of Multivariate Analysis, Elsevier, vol. 1(2), pages 232-255, June.
- H. Schneeweiß, 1976. "Consistent estimation of a regression with errors in the variables," Metrika- International Journal for Theoretical and Applied Statistics, Springer, vol. 23(1), pages 101-115, December.
- Guilkey, David K. & Price, J. Michael, 1981. "On comparing restricted least squares estimators," Journal of Econometrics, Elsevier, vol. 15(3), pages 397-404, April.
- Srivastava, Anil K. & Shalabh, 1997. "A new property of Stein procedure in measurement error model," Statistics & Probability Letters, Elsevier, vol. 32(3), pages 231-234, March.
- Zheng, Z., 1986. "On estimation of matrix of normal mean," Journal of Multivariate Analysis, Elsevier, vol. 18(1), pages 70-82, February.
- Van Hoa, Tran, 1986. "Improved estimators in some linear errors-in-variables models in finite samples," Economics Letters, Elsevier, vol. 20(4), pages 355-358.
When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:67:y:1998:i:1:p:35-48. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.