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 |
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Authors: | Deniz Ünal |
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Institution: | Department of Statistics , University of ?ukurova , Adana , Turkey |
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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. |
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Keywords: | Iterative Stein-rule estimator Pitman Nearness Criterion Proxy variable Stein-rule estimator |
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