ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2002)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
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.:
- 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.
- Vinod, H. D., 1981.
"Improved Stein-rule estimator for regression problems,"
Journal of Econometrics,
Elsevier, vol. 17(1), pages 125-125, September.
- Vinod, H. D., 1980. "Improved stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 12(2), pages 143-150, February.
- 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.
- Ullah, Aman & Ullah, Shobha, 1978. "Double k-Class Estimators of Coefficients in Linear Regression," Econometrica, Econometric Society, vol. 46(3), pages 705-22, May.
- Carter, R. A. L., 1981. "Improved Stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 17(1), pages 113-123, September.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:21:y:2002:i:1:p:121-134. 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: ()
If references are entirely missing, you can add them using this form.