The Statistical Properties of the Equity Estimator |
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Authors: | R Carter Hill P A Cartwright |
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Institution: | 1. Department of Economics , Louisiana State University , Baton Rouge , LA , 70803;2. A. C. Nielsen, S.A , F-95007 Cergy-Pontoise Cedex, France |
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Abstract: | In this article we consider the Equity estimator proposed by Krishnamurthi and Rangaswamy. We show that this estimator is inconsistent and does not necessarily improve on the mean squared error (MSE) of the least squares (LS) estimator. We perform a Monte Carlo experiment based on the price-promotion model used in marketing research, with marketing data, comparing the MSE of the Equity estimator to that of two empirical Bayes estimators and the LS estimator. We find that the empirical Bayes estimators have substantially smaller MSE than the Equity estimator in almost every case. |
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Keywords: | Biased estimation Empirical Bayes estimation Multicollinearity Price-promotion model Stein estimation |
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