EconPapers    
Economics at your fingertips  
 

Double k-Class Estimators in Regression Models with Non-spherical Disturbances

Alan Wan () and Anoop Chaturvedi ()

Journal of Multivariate Analysis, 2001, vol. 79, issue 2, 226-250

Abstract: In this paper, we consider a family of feasible generalised double k-class estimators in a linear regression model with non-spherical disturbances. We derive the large sample asymptotic distribution of the proposed family of estimators and compare its performance with the feasible generalized least squares and Stein-rule estimators using the mean squared error matrix and risk under quadratic loss criteria. A Monte-Carlo experiment investigates the finite sample behaviour of the proposed family of estimators.

Keywords: bias; dominance; large; sample; asymptotic; quadratic; loss; mean; squared; error; Monte-Carlo; simulation; risk (search for similar items in EconPapers)
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(00)91963-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:79:y:2001:i:2:p:226-250

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2023-01-23
Handle: RePEc:eee:jmvana:v:79:y:2001:i:2:p:226-250