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The effects of the proxy information on the iterative Stein-rule estimator of the disturbance variance

✍ Scribed by Deniz Ünal


Book ID
106045408
Publisher
Springer-Verlag
Year
2009
Tongue
English
Weight
141 KB
Volume
51
Category
Article
ISSN
0932-5026

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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