The sampling distribution of shrinkage estimators and their F-ratios in the regression model

DOI10.1016/0304-4076(84)90040-XzbMath0559.62017OpenAlexW2003797191MaRDI QIDQ2266307

Aman Ullah, Virendra K. Srivastava, Richard A. L. Carter

Publication date: 1984

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90040-x

zbMATH Keywords

confidence intervalsadaptive shrinkage estimatorstesting hypothesesF-ratioslarge-T asymptotic expansionssmall-sigma approximationweighted sum of central F distribution functions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

Related Items (8)

Bounds of the F-ratio incorporating the ordinary ridge regression estimator ⋮ Finite sample moments of a bootstrap estimator of the james-stein rule ⋮ A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator ⋮ Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances ⋮ Tests of regression coefficients under ridge regression models ⋮ The sampling distribution of shrinkage estimators and their F-ratios in the regression model ⋮ Confidence sets centered at James-Stein estimators. A surprise concerning the unknown-variance case ⋮ Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors

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• Improved Stein-rule estimator for regression problems

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