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 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 42 Issue: 8
  • Publication Date: 2013
  • Doi Number: 10.1080/03610926.2011.593287
  • Title of Journal : COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
  • Page Numbers: pp.1531-1541

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.