Comparison of the Iterative Stein-Rule and the Usual Estimators of the Disturbance Variance Under the Pitman Nearness Criterion in a Linear Regression Model with Proxy Variables


ÜNAL D., YÜKSEL G.

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, vol.42, no.8, pp.1531-1541, 2013 (SCI-Expanded) identifier identifier

Abstract

In a linear regression model with proxy variables, the iterative Stein-rule estimator and the usual estimator of the disturbance variance is compared under the Pitman Nearness Criterion. The exact expression of Pitman Nearness probability is derived and numerically evaluated.