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Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model

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  • Ohtani, Kazuhiro

Abstract

In this paper, we consider a linear regression model when relevant regressors are omitted in the specified model. We examine the MSE dominance of the pre-test Stein-rule estimator of regression coefficients using the Stein-variance estimator over the traditional Stein-rule estimator of regression coefficients.

Suggested Citation

  • Ohtani, Kazuhiro, 1996. "Further improving the Stein-rule estimator using the Stein variance estimator in a misspecified linear regression model," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 191-199, September.
    • Handle: RePEc:eee:stapro:v:29:y:1996:i:3:p:191-199
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    1. Gelfand, Alan E. & Dey, Dipak K., 1988. "Improved estimation of the disturbance variance in a linear regression model," Journal of Econometrics, Elsevier, vol. 39(3), pages 387-395, November.
    2. Giles, Judith A., 1991. "Pre-testing for linear restrictions in a regression model with spherically symmetric disturbances," Journal of Econometrics, Elsevier, vol. 50(3), pages 377-398, December.
    3. Ohtani, Kazuhiro, 1993. "A Comparison of the Stein-Rule and Positive-Part Stein-Rule Estimators in a Misspecified Linear Regression Model," Econometric Theory, Cambridge University Press, vol. 9(4), pages 668-679, August.
    4. Ohtani, Kazuhiro, 1988. "Optimal levels of significance of a pre-test in estimating the disturbance variance after the pre-test for a linear hypothesis on coefficients in a linear regression," Economics Letters, Elsevier, vol. 28(2), pages 151-156.
    5. Mittelhammer, R.C., 1984. "Restricted least squares, pre-test, ols and stein rule estimators: Risk comparisons under model misspecification," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 151-164.
    6. Kubokawa, Tatsuya, 1991. "An approach to improving the James-Stein estimator," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 121-126, January.
    7. Berry, J. Calvin, 1994. "Improving the James-Stein estimator using the Stein variance estimator," Statistics & Probability Letters, Elsevier, vol. 20(3), pages 241-245, June.
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    Cited by:

    1. 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.
    2. Hu, Guikai & Yu, Shenghua & Luo, Han, 2015. "Comparisons of variance estimators in a misspecified linear model with elliptically contoured errors," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 266-276.
    3. Akio Namba & Kazuhiro Ohtani, 2007. "Risk comparison of the Stein-rule estimator in a linear regression model with omitted relevant regressors and multivariatet errors under the Pitman nearness criterion," Statistical Papers, Springer, vol. 48(1), pages 151-162, January.
    4. Ohtani, Kazuhiro, 1998. "Inadmissibility of the Stein-rule estimator under the balanced loss function," Journal of Econometrics, Elsevier, vol. 88(1), pages 193-201, November.
    5. 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.

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