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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 3, 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
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