The exact general formulae for the moments and the MSE dominance of the Stein-rule and positive-part Stein-rule estimators

Journal of Econometrics

Volumn 74, Issue 2, 1996, Pages 273-287

  Ohtani, Kazuhiro ^a   Kozumi, Hideo ^b  

^a KOBE UNIVERSITY   (Japan)

^b HOKKAIDO UNIVERSITY   (Japan)

Author keywords

MSE dominance; Stein rule estimator

Indexed keywords

EID: 0010888656     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01747-X     Document Type: Article

References (13)

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4. Judge, G.G. and T.A. Yancey, 1986, Improved methods of inference in econometrics (North-Holland, Amsterdam).
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10. Stein, C., 1955, Inadmissibility of the usual estimator for the mean of a multivariate normal distribution, in: Proceedings of the third Berkeley symposium on mathematical statistics and probability (University of California Press. Berkeley, CA) 197-206.
11. Ullah, A., 1974, On the sampling distribution of improved estimators for coefficients in linear regression, Journal of Econometrics 2, 143-150.
12. Ullah, A., 1982, The approximate distribution function of the Stein-rule estimator, Economics Letters 10, 305-308.
13. Yancey, T.A. and G.G. Judge, 1976, A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss, Journal of Econometrics 4, 285-294.