Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model

Kazuhiro Ohtani

Statistics & Probability Letters, 1996, vol. 29, issue 3, 191-199

Abstract: In this paper, we consider a linear regression model when relevant regressors are omitted in the specified model. We examine the MSE dominance of the pre-test Stein-rule estimator of regression coefficients using the Stein-variance estimator over the traditional Stein-rule estimator of regression coefficients.

Keywords: Misspecification; Pre-test; Stein-rule; estimator; Stein-variance; estimator (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (5)

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