ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION
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) | 121-134 |
| Journal / Publication | Econometric Reviews |
| Volume | 21 |
| Issue number | 1 |
| Publication status | Published - 2002 |
Link(s)
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.
Research Area(s)
- Ad-hoc, Double k-class, Predictive mean squared erroe, Pre-test, Stein rule, JEL Classification primary C13, secondary C20
Citation Format(s)
ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION. / Ohtani, Kazuhiro; Wan, Alan T. K.
In: Econometric Reviews, Vol. 21, No. 1, 2002, p. 121-134.
In: Econometric Reviews, Vol. 21, No. 1, 2002, p. 121-134.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
