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References (5)
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C Stein (1964)
Inadmissibility of the Usual Estimator for the Variance of a Normal Distribution with Unknown MeanAnnals of the Institute of Statistical Mathematics, 16
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(1990)
Preliminary-test Estimation of a Mis-specified Linear Model with Spherically Symmetric Disturbances -
T Kubokawa (1994)
A Unified Approach to Improving Equivariant EstimatorsAnnals of Statistics, 22
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G Casella J M Maatta (1990)
Developments in Decision-theoretic Variance EstimationStatistical Science, 5
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K Ohtani (1988)
Optimal Levels of Significance of a Pre-test in Estimating the Disturbance Variance after the Pre-test for a Linear Hypothesis on Coefficients in a Linear RegressionEconomics Letters, 28
- Publisher
- Springer Journals
- Copyright
- 1997 Japanese Economic Association
- ISSN
- 1352-4739
- eISSN
- 1468-5876
- DOI
- 10.1111/1468-5876.00040
- Publisher site
- See Article on Publisher Site
Abstract
Abstract This paper considers the optimality of the Stein-type estimator of the disturbance variance among the class of pre-test estimators after the pre-test for a linear hypothesis on coefficients. The Stein-type estimator is a member in this class with a critical value, say cs. It is known that the Stein-type estimator is the best in the subclass which consists of the pre-test estimators with smaller critical values than cs. It is analytically shown that an extension of the optimality to a larger class is not possible.
Journal
The Japanese Economic Review – Springer Journals
Published: Mar 1, 1997
Keywords: economics, general; microeconomics; macroeconomics/monetary economics//financial economics; econometrics; development economics; economic history