The Statistical Properties of the Equity Estimator

Carter Hill and Phillip Cartwright

Journal of Business & Economic Statistics, 1994, vol. 12, issue 2, 141-47

Abstract: The equity estimator, proposed by L. Krishnamurthi and A. Rangaswamy (1987), is shown to be inconsistent and to not necessarily improve upon the mean square error of the least squares estimator. A Monte Carlo experiment, based on the price-promotion model marketing research, with marketing data, is performed. The mean square error of the equity estimator is compared to that of two empirical Bayes estimators and the least square estimator. The empirical Bayes estimators have substantially smaller mean square error than the equity estimator in almost every case.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:12:y:1994:i:2:p:141-47

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