Shrinkage estimation in system regression model

Mohammad Arashi and Mahdi Roozbeh ()

Computational Statistics, 2015, vol. 30, issue 2, 359-376

Abstract: This article considers the problem of point/set estimation in a specific seemingly unrelated regression model, namely system regression model. Feasible type of shrinkage estimator and its positive part are defined for the effective regression coefficient vector, when the covariance matrix of the error term is assumed to be unknown. Their asymptotic distributional properties are evaluated. Further, related improved confidence set problems are discussed. A simulation study is conducted to evaluate the performance of the estimators. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Feasible estimator; Positive-rule Stein-type estimator; Preliminary test estimator; Seemingly unrelated regression model; Shrinkage estimator (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:30:y:2015:i:2:p:359-376

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DOI: 10.1007/s00180-014-0539-5

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