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ON THE USE OF THE STEIN VARIANCE ESTIMATOR IN THE DOUBLE k-CLASS ESTIMATOR IN REGRESSION

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  • Kazuhiro Ohtani
  • Alan Wan

Abstract

This paper investigates the predictive mean squared error performance of a modified double k-class estimator by incorporating the Stein variance estimator. Recent studies show that the performance of the Stein rule estimator can be improved by using the Stein variance estimator. However, as we demonstrate below, this conclusion does not hold in general for all members of the double k-class estimators. On the other hand, an estimator is found to have smaller predictive mean squared error than the Stein variance-Stein rule estimator, over quite large parts of the parameter space.

Suggested Citation

  • 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.
    • Handle: RePEc:taf:emetrv:v:21:y:2002:i:1:p:121-134
    DOI: 10.1081/ETC-120008726
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    References listed on IDEAS

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    1. Vinod, H. D., 1981. "Improved Stein-rule estimator for regression problems," Journal of Econometrics, Elsevier, vol. 17(1), pages 125-125, September.
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    Cited by:

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    More about this item

    Keywords

    Ad-hoc; Double k-class; Predictive mean squared error; Pre-test; Stein rule; JEL Classification: primary C13; secondary C20;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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