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ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION

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  • Kazuhiro Ohtani
  • Alan Wan

Abstract

This paper investigates the predictive mean squared error performance of a modified double k-class estimator by incorporating the Stein variance estimator. Recent studies show that the performance of the Stein rule estimator can be improved by using the Stein variance estimator. However, as we demonstrate below, this conclusion does not hold in general for all members of the double k-class estimators. On the other hand, an estimator is found to have smaller predictive mean squared error than the Stein variance-Stein rule estimator, over quite large parts of the parameter space.

Suggested Citation

  • Kazuhiro Ohtani & Alan Wan, 2002. "ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 121-134.
  • Handle: RePEc:taf:emetrv:v:21:y:2002:i:1:p:121-134
    DOI: 10.1081/ETC-120008726
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    References listed on IDEAS

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    1. Vinod, H. D., 1981. "Improved Stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 17(1), pages 125-125, September.
    2. Carter, R. A. L., 1981. "Improved Stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 17(1), pages 113-123, September.
    3. Ohtani, Kazuhiro, 1988. "Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression," Economics Letters, Elsevier, vol. 28(2), pages 151-156.
    4. Ullah, Aman & Ullah, Shobha, 1978. "Double k-Class Estimators of Coefficients in Linear Regression," Econometrica, Econometric Society, vol. 46(3), pages 705-722, May.
    5. N/A, 1981. "Errata," Journal of Peace Research, Peace Research Institute Oslo, vol. 18(3), pages 307-307, September.
    6. Gelfand, Alan E. & Dey, Dipak K., 1988. "Improved estimation of the disturbance variance in a linear regression model," Journal of Econometrics, Elsevier, vol. 39(3), pages 387-395, November.
    7. N/A, 1981. "Errata," Sociological Methods & Research, , vol. 9(3), pages 389-390, February.
    8. Ohtani, Kazuhiro, 1996. "Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 191-199, September.
    9. 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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    Cited by:

    1. Helen X. H. Bao & Alan T. K. Wan, 2007. "Improved Estimators of Hedonic Housing Price Models," Journal of Real Estate Research, American Real Estate Society, vol. 29(3), pages 267-302.
    2. Akio Namba, 2003. "On the use of the Stein variance estimator in the double k-class estimator when each individual regression coefficient is estimated," Statistical Papers, Springer, vol. 44(1), pages 117-124, January.

    More about this item

    Keywords

    Ad-hoc; Double k-class; Predictive mean squared error; Pre-test; Stein rule; JEL Classification: primary C13; secondary C20;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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