Estimation of restricted regression model when disturbances are not necessarily normal

R. Karan Singh

Statistics & Probability Letters, 1994, vol. 19, issue 2, 101-109

Abstract: Considering a linear regression model subject to a set of linear restrictions binding the coefficients, two classes of estimators are proposed; their risk functions with respect to a general quadratic loss function are derived under non-normality, their properties are studied and the general dominance conditions of the two classes over the restricted regression estimator are also found.

Keywords: Stein; estimation; small; [sigma]; asymptotics; mean; squared; error (search for similar items in EconPapers)
Date: 1994
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