Shrinkage estimation in spatial autoregressive model
Amresh Bahadur Pal,
Ashutosh Kumar Dubey and
Anoop Chaturvedi ()
Journal of Multivariate Analysis, 2016, vol. 143, issue C, 362-373
The paper considers spatial econometric model and presents a family of shrinkage estimators for the regression coefficients vector. The asymptotic distribution of the proposed family of estimators has been derived under the assumption that sample size is large. The risk properties of least squares estimator and proposed improved family of estimators have been investigated under quadratic loss function and dominance conditions have been obtained. For investigating the finite sample behavior of various estimators belonging to proposed family of shrinkage estimators, a simulation study has been carried out and results have been presented.
Keywords: Quadratic loss function; Spatial model; Shrinkage estimation; Double k-class estimator; Minimum mean squared error estimator; Asymptotic distribution (search for similar items in EconPapers)
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