Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model

DOI10.1080/03610926.2013.830750zbMath1341.62229OpenAlexW2036722848MaRDI QIDQ2807699

Hai-Feng Xu

Publication date: 25 May 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.830750

zbMATH Keywords

MSE performanceomitted variablesfeasible ridge regression estimatorheterogeneous preliminary test estimatoroptimal critical value

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05)

Related Items (2)

A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model ⋮ MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated

Cites Work

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• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
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