MSE performance of the 2SHI estimator in a regression model with multivariate t error terms

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