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Double k-Class Estimators in Regression Models with Non-spherical Disturbances

  • Wan, Alan T. K.
  • Chaturvedi, Anoop

In this paper, we consider a family of feasible generalised double k-class estimators in a linear regression model with non-spherical disturbances. We derive the large sample asymptotic distribution of the proposed family of estimators and compare its performance with the feasible generalized least squares and Stein-rule estimators using the mean squared error matrix and risk under quadratic loss criteria. A Monte-Carlo experiment investigates the finite sample behaviour of the proposed family of estimators.

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Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 79 (2001)
Issue (Month): 2 (November)
Pages: 226-250

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Handle: RePEc:eee:jmvana:v:79:y:2001:i:2:p:226-250
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  1. Judge, G.G. & Bock, M.E., 1983. "Biased estimation," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 1, chapter 10, pages 599-649 Elsevier.
  2. Menjoge, Shailendra S., 1984. "On double k-class estimators of coefficients in linear regression," Economics Letters, Elsevier, vol. 15(3-4), pages 295-300.
  3. Rothenberg, Thomas J, 1984. "Approximate Normality of Generalized Least Squares Estimates," Econometrica, Econometric Society, vol. 52(4), pages 811-25, July.
  4. Carter, R. A. L., 1981. "Improved Stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 17(1), pages 113-123, September.
  5. Hill, R.Carter & Judge, George G, 1990. "Improved estimation under collinearity and squared error loss," Journal of Multivariate Analysis, Elsevier, vol. 32(2), pages 296-312, February.
  6. Carter, R. A. L. & Srivastava, V. K. & Chaturvedi, A., 1993. "Selecting a double k-class estimator for regression coefficients," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 363-371, December.
  7. Vinod, H. D., 1980. "Improved stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 12(2), pages 143-150, February.
  8. Carter Hill, R. & Judge, George, 1987. "Improved prediction in the presence of multicollinearity," Journal of Econometrics, Elsevier, vol. 35(1), pages 83-100, May.
  9. Ullah, Aman & Ullah, Shobha, 1978. "Double k-Class Estimators of Coefficients in Linear Regression," Econometrica, Econometric Society, vol. 46(3), pages 705-22, May.
  10. Srivastava, V. K. & Chaturvedi, A., 1986. "A necessary and sufficient condition for the dominance of an improved family of estimators in linear regression models," Economics Letters, Elsevier, vol. 20(4), pages 345-349.
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