Exact Results on the Inadmissibility of the Feasible Generalized Least Squares Estimator in Regression Models with Non-Spherical Disturbances

DOI<link itemprop=identifier href="https://doi.org/10.1002/1521-4036(200008)42:4<481::AID-BIMJ481>3.0.CO;2-V" /><481::AID-BIMJ481>3.0.CO;2-V 10.1002/1521-4036(200008)42:4<481::AID-BIMJ481>3.0.CO;2-VzbMath0963.62010OpenAlexW1980637018MaRDI QIDQ4518271

Anoop Chaturvedi, Alan T. K. Wan

Publication date: 19 February 2001

Full work available at URL: https://doi.org/10.1002/1521-4036(200008)42:4<481::aid-bimj481>3.0.co;2-v

zbMATH Keywords

squared error lossdominanceinadmissibilityAR(1) disturbancesfeasible generalized least squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Admissibility in statistical decision theory (62C15)

Related Items (1)

A note on Stein-type shrinkage estimator in partial linear models

Cites Work

• Useful invariance results for generalized regression models
• Bounds for normal approximations to the distributions of generalized least squares predictors and estimators
• Inadmissibility of maximum likelihood estimators in some multiple regression problems with three or more independent variables
• Admissibility: Survey of a Concept in Progress
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
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