A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-010-9087-4.pdf
Reference18 articles.
1. R. C. Mittelhammer, Restricted least squares, pre-test, OLS and Stein-rule estimators: Risk comparisons under model misspecification, Journal of Econometrics, 1984, 25: 151–164.
2. A. T. K. Wan, The sampling performance of inequality restricted and pre-test estimators in a mis-specified linear model, Australian Journal of Statistics, 1994, 36: 313–325.
3. A. Banerjee and J. R. Magnus The sensitivity of OLS when the variance matrix is (partially) known, Journal of Econometrics, 1999, 92: 295–323.
4. A. T. K. Wan, G. Zou, and H. Qin, On the sensitivity of restricted least squares estimators to covariance misspecification, Econometrics Journal, 2007, 10: 471–487.
5. X. Y. Zhang, T. Chen, A. T. K. Wan, and G. Zou, Robustness of Stein-type estimators under a non-scalar covariance structure, Journal of Multivariate Analysis, 2009, 100: 2376–2388.
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