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  • 标题:PERFORMANCE OF THE STEIN-RULE ESTIMATORS WHEN THE DISTURBANCES ARE MISSPECIFIED AS SPHERICAL
  • 本地全文:下载
  • 作者:A. CHATURVEDI ; TRAN VAN HOA ; GOVIND SHUKLA
  • 期刊名称:季刊 理論経済学
  • 印刷版ISSN:0557-109X
  • 电子版ISSN:2185-4408
  • 出版年度:1993
  • 卷号:44
  • 期号:2
  • 页码:97-107
  • 出版社:The Japanese Economic Association
  • 摘要:The paper investigates the effects of misspecifying the disturbances in a linear regression model as spherical on the efficiency properties of the Stein-rule estimators. Asymptotic distribution of the Stein-rule estimator based on the OLS estimator is derived when the disturbances covariance matrix is nonscalar. The effects of non-spherical disturbances on the dominance conditions of the Stein-rule estimator is also observed. The risks under quadratic loss function of the Stein-rule estimators based on the OLS and the FGLS estimators are compared under a Pitman drift criterion.
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