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

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

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Detail(s)

Original languageEnglish
Pages (from-to)121-134
Journal / PublicationEconometric Reviews
Volume21
Issue number1
Publication statusPublished - 2002

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