A Monte Carlo comparison of traditional and Stein-rule estimators under squared error loss
نویسندگان
چکیده
منابع مشابه
Mean Squared Error Matrix comparison of Least Squares and Stein-Rule Estimators for Regression Coefficients under Non-normal Disturbances
Choosing the performance criterion to be mean squared error matrix, we have compared the least squares and Stein-rule estimators for coefficients in a linear regression model when the disturbances are not necessarily normally distributed. It is shown that none of the two estimators dominates the other, except in the trivial case of merely one regression coefficient where least squares is found ...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1976
ISSN: 0304-4076
DOI: 10.1016/0304-4076(76)90038-5