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Inadmissibility of the iterative Stein-rule estimator of the disturbance variance in a linear regression

✍ Scribed by Kazuhiro Ohtani


Book ID
116100312
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
252 KB
Volume
24
Category
Article
ISSN
0165-1765

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MSE dominance of the pre-test iterative
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In this paper, we examine the small sample properties of the pre-test iterative variance estimator in regression. The explicit formula of MSE is derived, and it is shown that the pre-test iterative variance estimator with an appropriate critical value dominates the iterative variance estimator witho