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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.
  • Handle: RePEc:cwl:cwldpp:682
    Note: CFP 594.
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    File URL: http://cowles.yale.edu/sites/default/files/files/pub/d06/d0682.pdf
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    1. 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.
    2. 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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    Cited by:

    1. Phillips, P C B, 1986. "The Exact Distribution of the Wald Statistic," Econometrica, Econometric Society, vol. 54(4), pages 881-895, July.
    2. 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.
    3. 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.
    4. 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.
    5. Peter C.B. Phillips, 1990. "Operational Algebra and Regression t-Tests," Cowles Foundation Discussion Papers 948, Cowles Foundation for Research in Economics, Yale University.
    6. 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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