The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances

John Knight

Econometric Theory, 1986, vol. 2, issue 2, 202-219

Abstract: This paper derives the exact distribution and moments of the Stein-ruleestimator in a model where the disturbances follow a non-normal distribution of the Edgeworth or Gram-Charlier type. The results are achieved by combining the approach of Davis [4] for examining non-normality with the fractional calculus techniques of Phillips [11].

Date: 1986
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