PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted

Akio Namba

Statistics & Probability Letters, 2003, vol. 63, issue 4, 375-385

Abstract: In this paper, we consider a regression model with omitted relevant regressors and a general family of shrinkage estimators of regression coefficients. We derive the formula for the predictive mean squared error (PMSE) of the estimators. It is shown analytically that the positive-part shrinkage estimator dominates the ordinary shrinkage estimator even when there are omitted relevant regressors. Also, as an example, our result is applied to the double k-class estimator.

Keywords: Positive-part; estimator; Predictive; mean; squared; error; Dominance (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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