Shrinkage estimation in spatial autoregressive model
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2015.09.011
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Alan Wan & Anoop Chaturvedi, 2000. "Operational Variants of the Minimum Mean Squared Error Estimator in Linear Regression Models with Non-Spherical Disturbances," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(2), pages 332-342, June.
- Chaturvedi, Anoop & Shalabh, 2004. "Risk and Pitman closeness properties of feasible generalized double k-class estimators in linear regression models with non-spherical disturbances under balanced loss function," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 229-256, August.
- Ullah, Aman & Ullah, Shobha, 1978.
"Double k-Class Estimators of Coefficients in Linear Regression,"
Econometrica, Econometric Society, vol. 46(3), pages 705-722, May.
- Aman Ullah & Shobha Ullah, 1976. "Double k-Class Estimators of Coefficients in Linear Regression," University of Western Ontario, Departmental Research Report Series 7617, University of Western Ontario, Department of Economics.
- Wan, Alan T. K. & Chaturvedi, Anoop, 2001. "Double k-Class Estimators in Regression Models with Non-spherical Disturbances," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 226-250, November.
- Carter, R. A. L. & Srivastava, V. K. & Chaturvedi, A., 1993. "Selecting a double k-class estimator for regression coefficients," Statistics & Probability Letters, Elsevier, vol. 18(5), pages 363-371, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chaturvedi Anoop & Mishra Sandeep, 2019. "Generalized Bayes Estimation Of Spatial Autoregressive Models," Statistics in Transition New Series, Statistics Poland, vol. 20(2), pages 15-32, June.
- Anoop Chaturvedi & Shalabh & Sandeep Mishra, 2021. "Generalized Bayes Estimator for Spatial Durbin Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 267-285, December.
- Fang Lu & Jing Yang & Xuewen Lu, 2022. "One-step oracle procedure for semi-parametric spatial autoregressive model and its empirical application to Boston housing price data," Empirical Economics, Springer, vol. 62(6), pages 2645-2671, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Shalabh, & Garg, G. & Heumann, C., 2012. "Performance of double k-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses," Journal of Multivariate Analysis, Elsevier, vol. 112(C), pages 35-47.
- Chaturvedi, Anoop & Shalabh, 2004. "Risk and Pitman closeness properties of feasible generalized double k-class estimators in linear regression models with non-spherical disturbances under balanced loss function," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 229-256, August.
- Wan, Alan T. K. & Chaturvedi, Anoop, 2001. "Double k-Class Estimators in Regression Models with Non-spherical Disturbances," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 226-250, November.
- Chaturvedi, Anoop & Wan, Alan T. K. & Singh, Shri P., 2002. "Improved Multivariate Prediction in a General Linear Model with an Unknown Error Covariance Matrix," Journal of Multivariate Analysis, Elsevier, vol. 83(1), pages 166-182, October.
- Akio Namba, 2003. "On the use of the Stein variance estimator in the double k-class estimator when each individual regression coefficient is estimated," Statistical Papers, Springer, vol. 44(1), pages 117-124, January.
- Kazuhiro Ohtani & Alan Wan, 2002. "ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION," Econometric Reviews, Taylor & Francis Journals, vol. 21(1), pages 121-134.
- Wan, Alan T. K. & Kurumai, Hiroko, 1999. "An iterative feasible minimum mean squared error estimator of the disturbance variance in linear regression under asymmetric loss," Statistics & Probability Letters, Elsevier, vol. 45(3), pages 253-259, November.
- Judge G.G. & Mittelhammer R.C., 2004.
"A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss,"
Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 479-487, January.
- Judge, George G. & Mittelhammer, Ron C, 2003. "A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt8z25j0w3, Department of Agricultural & Resource Economics, UC Berkeley.
- Judge, George G. & Mittelhammer, Ronald C., 2003. "A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss," CUDARE Working Papers 25103, University of California, Berkeley, Department of Agricultural and Resource Economics.
- Hayat, Aziz & Bhatti, M. Ishaq, 2013. "Masking of volatility by seasonal adjustment methods," Economic Modelling, Elsevier, vol. 33(C), pages 676-688.
- Ullah, A. & Vinod, H. D. & Kadiyala, R. K., 1978. "A Family Of Improved Ordinary Ridge Estimators," Econometric Institute Archives 272169, Erasmus University Rotterdam.
- Tran Van Hoa, 2000. "Recent Significant Advances in Estimating and Forecasting Theories and Economic Modelling: With Applications to Asian Investment Studies," Economics Working Papers wp00-01, School of Economics, University of Wollongong, NSW, Australia.
- Tran Van Hoa, 2004. "Australia-Thailand Free Trade Agreement: Challenges and Opportunities for Bilateral Trade Policy and Closer Economic Relations," Economics Working Papers wp04-12, School of Economics, University of Wollongong, NSW, Australia.
- Tran Van Hoa, 2002. "WTO Membership for China and Its Impact on Growth, Investment and Consumption: A New Flexible Keynesian Approach," Economics Working Papers wp02-04, School of Economics, University of Wollongong, NSW, Australia.
- Namba, Akio, 2003. "PMSE dominance of the positive-part shrinkage estimator in a regression model when relevant regressors are omitted," Statistics & Probability Letters, Elsevier, vol. 63(4), pages 375-385, July.
- Zou, Guohua & Wan, Alan T.K. & Wu, Xiaoyong & Chen, Ti, 2007. "Estimation of regression coefficients of interest when other regression coefficients are of no interest: The case of non-normal errors," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 803-810, April.
- Ohtani, Kazuhiro, 2001. "MSE dominance of the pre-test iterative variance estimator over the iterative variance estimator in regression," Statistics & Probability Letters, Elsevier, vol. 54(3), pages 331-340, October.
- Tran Van Hoa, 2003. "Growth of Asian Regional Trade and Income Convergence: Evidence from ASEAN+3 Based on Extended Helpman-Krugman Hypothesis and Flexible Modelling Approach," Economics Working Papers wp03-02, School of Economics, University of Wollongong, NSW, Australia.
- Zhang, Xinyu & Chen, Ti & Wan, Alan T.K. & Zou, Guohua, 2009. "Robustness of Stein-type estimators under a non-scalar error covariance structure," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2376-2388, November.
- Chaturvedi, Anoop & Gupta, Suchita & Bhatti, M. Ishaq, 2012. "Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 140-158, February.
- Tran Van Hoa, 2003. "New Asian Regionalism: Evidence of ASEAN+3 Free Trade Agreement From Extended Gravity Theory and New Modelling Approach," Economics Working Papers wp03-03, School of Economics, University of Wollongong, NSW, Australia.
More about this item
Keywords
Quadratic loss function; Spatial model; Shrinkage estimation; Double k-class estimator; Minimum mean squared error estimator; Asymptotic distribution;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:143:y:2016:i:c:p:362-373. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.