A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 315-320 |
| Journal / Publication | Journal of Systems Science and Complexity |
| Volume | 23 |
| Issue number | 2 |
| Publication status | Published - Apr 2010 |
Link(s)
Abstract
This paper considers the effect of an erroneous inclusion of regressors on the risk properties of the Stein-rule, positive-part Stein-rule and inequality restricted and pre-test estimators in a linear regression model. The two Stein-rule estimators are considered when extraneous information is available in the form of a set of multiple equality constraints on the coefficients, while the inequality estimators are considered under the case of a single inequality constraint. It is shown that the inclusion of wrong regressors has only minimal effect on the properties of the Stein-rule and positive-part Stein-rule estimators, and no effect at all on the inequality restricted and pre-test estimators when there is a single inequality constraint. © 2010 Institute of Systems Science, Academy of Mathematics and Systems Science, CAS and Springer-Verlag Berlin Heidelberg.
Research Area(s)
- Inequality restricted estimator, Linear regression model, Model misspecification, Stein-rule estimator
Citation Format(s)
A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted. / Zhou, Sherry Zhefang.
In: Journal of Systems Science and Complexity, Vol. 23, No. 2, 04.2010, p. 315-320.
In: Journal of Systems Science and Complexity, Vol. 23, No. 2, 04.2010, p. 315-320.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
