On Measuring Uncertainty of Small Area Estimators with Higher Order Accuracy

Tatsuya Kubokawa
Additional contact information
Tatsuya Kubokawa: Faculty of Economics, University of Tokyo

No CIRJE-F-754, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: The empirical best linear unbiased predictor (EBLUP) or the empirical Bayes estimator (EB) in the linear mixed model is recognized useful for the small area estimation, because it can increase the estimation precision by using the information from the related areas. Two of the measures of uncertainty of EBLUP is the estimation of the mean squared error (MSE) and the confidence interval, which have been studied under the second-order accuracy in the literature. This paper provides the general analytical results for these two measures in the unified framework, namely, we derive the conditions on the general consistent estimators of the variance components to satisfy the third-order accuracy in the MSE estimation and the confidence interval in the general linear mixed normal models. Those conditions are shown to be satisfied by not only the maximum likelihood (ML) and restricted maximum likelihood (REML), but also the other estimators including the Prasad-Rao and Fay-Herriot estimators in specific models.

Pages: 35pages
Date: 2010-07
New Economics Papers: this item is included in nep-ecm and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2010/2010cf754.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2010cf754

Access Statistics for this paper

More papers in CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by CIRJE administrative office ().