Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances

Anoop Chaturvedi, Hikaru Hasegawa, Ajit Chaturvedi and Govind Shukla

Econometric Theory, 1997, vol. 13, issue 03, pages 406-429

Abstract: In this present paper, considering a linear regression model with nonspherical disturbances, improved confidence sets for the regression coefficients vector are developed using the Stein rule estimators. We derive the large-sample approximations for the coverage probabilities and the expected volumes of the confidence sets based on the feasible generalized least-squares estimator and the Stein rule estimator and discuss their ranking.

Date: 1997

Downloads: (external link)
http://journals.cambridge.org/abstract_S0266466600005879 link to article abstract page (text/html)

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: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:03:p:406-429_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().