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MSE performance of the 2SHI estimator in a regression model with multivariate t error terms
Authors:Akio Namba
Institution:(1) Graduate School of Economics, Kobe University, Rokko, Nuda-ku, Kobe 657-8501, Japan, JP
Abstract:t error terms and derive the explicit formula of the mean squared error (MSE) of the two-stage hierarchial information (2SHI) estimator. It is shown by numerical evaluations that the 2SHI estimator has smaller MSE than the positive-part Stein-rule (PSR) estimator over a wide region of the parameter space. Received: November 6, 1998; revised version: October 15, 1999
Keywords:
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