IDEAS home Printed from https://ideas.repec.org/p/koe/wpaper/1513.html
   My bibliography  Save this paper

MSE Performance of the Weighted Average Estimators Consisting of Shrinkage Estimators

Author

Listed:
  • Akio Namba

    (Graduate School of Economics, Kobe University)

  • Kazuhiro Ohtani

    (Graduate School of Economics, Kobe University)

Abstract

In this paper we consider a regression model and propose estimators which are the weighted averages of two estimators among three estimators; the Stein-rule (SR), minimum mean squared error (MMSE) and the adjusted minimum mean squared error (AMMSE) estimators. We derive the formula for the mean squared error (MSE) of the proposed estimators. It is shown by numerical evaluations that one of the proposed estimators has smaller mean squared error (MSE) than the positive-part Stein-rule (PSR) estimator over a moderate region of parameter space when the number of the regression coefficients is small (i.e., 3). Also, its MSE performance is comparable to the PSR estimator even when the number of the regression coefficient is not so small.

Suggested Citation

  • Akio Namba & Kazuhiro Ohtani, 2015. "MSE Performance of the Weighted Average Estimators Consisting of Shrinkage Estimators," Discussion Papers 1513, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1513
    as

    Download full text from publisher

    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1513.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Brownstone, David, 1990. "Bootstrapping improved estimators for linear regression models," Journal of Econometrics, Elsevier, vol. 44(1-2), pages 171-187.
    2. Yi, Gang, 1991. "Estimating the variability of the Stein estimator by bootstrap," Economics Letters, Elsevier, vol. 37(3), pages 293-298, November.
    3. Ohtani, Kazuhiro, 1999. "MSE performance of a heterogeneous pre-test estimator," Statistics & Probability Letters, Elsevier, vol. 41(1), pages 65-71, January.
    4. Chi, Xie Wen & Judge, George, 1985. "On assessing the precision of Stein's estimator," Economics Letters, Elsevier, vol. 18(2-3), pages 143-148.
    Full references (including those not matched with items on IDEAS)

    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.
    1. Ohtani, Kazuhiro, 2000. "Bootstrapping R2 and adjusted R2 in regression analysis," Economic Modelling, Elsevier, vol. 17(4), pages 473-483, December.
    2. Helen X. H. Bao & Alan T. K. Wan, 2007. "Improved Estimators of Hedonic Housing Price Models," Journal of Real Estate Research, American Real Estate Society, vol. 29(3), pages 267-302.
    3. Akio Namba, 2021. "Bootstrapping the Stein-Rule Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 219-237, December.
    4. Maples, Chellie H. & Hagerman, Amy D. & Lambert, Dayton M., 2022. "Ex-ante effects of the 2018 Agricultural Improvement Act’s grassland initiative," Land Use Policy, Elsevier, vol. 116(C).
    5. Leeb, Hannes & Pötscher, Benedikt M., 2008. "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, vol. 24(2), pages 338-376, April.
    6. Shakhawat Hossain & Shahedul A. Khan, 2020. "Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 74(4), pages 592-610, November.
    7. Lee C. Adkins, 2013. "The Restricted Least Squares Stein-Rule in gretl," Economics Working Paper Series 1305, Oklahoma State University, Department of Economics and Legal Studies in Business.
    8. Vinod, H. D., 1995. "Double bootstrap for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 68(2), pages 287-302, August.
    9. Tanya Suchoy & Amit Friedman, 2002. "The NAIRU in Israel: an Unobserved Components Approach," Bank of Israel Working Papers 2002.08, Bank of Israel.
    10. Kazimi, Camilla & Brownstone, David, 1999. "Bootstrap confidence bands for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 90(1), pages 99-127, May.
    11. McAleer, Michael & Veall, Michael R., 1995. "Data mining and the con in econometrics: the U.S. demand for money revisited," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 329-333.
    12. Reif, Jiri & Vlcek, Karel, 2002. "Optimal pre-test estimators in regression," Journal of Econometrics, Elsevier, vol. 110(1), pages 91-102, September.
    13. Amit Friedman & Tanya Suchoy, 2004. "The NAIRU in Israel: An Unobserved Components Approach," Israel Economic Review, Bank of Israel, vol. 2(2), pages 125-154.
    14. 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.

    Corrections

    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:koe:wpaper:1513. 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: Kimiaki Shirahama (email available below). General contact details of provider: https://edirc.repec.org/data/fekobjp.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.