ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION

Kazuhiro Ohtani and Alan Wan ()

Econometric Reviews, 2002, vol. 21, issue 1, 121-134

Abstract: This paper investigates the predictive mean squared error performance of a modified double k-class estimator by incorporating the Stein variance estimator. Recent studies show that the performance of the Stein rule estimator can be improved by using the Stein variance estimator. However, as we demonstrate below, this conclusion does not hold in general for all members of the double k-class estimators. On the other hand, an estimator is found to have smaller predictive mean squared error than the Stein variance-Stein rule estimator, over quite large parts of the parameter space.

Keywords: Ad-hoc, Double k-class, Predictive mean squared error, Pre-test, Stein rule, JEL Classification: primary C13; secondary C20, (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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DOI: 10.1081/ETC-120008726

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