Risk comparison of the inequality constrained least squares and other related estimators under balanced loss

DOI10.1016/0165-1765(94)00485-4zbMath0875.62591OpenAlexW2076498003MaRDI QIDQ5894557

Alan T. K. Wan

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)00485-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (9)

Least squares estimators in measurement error models under the balanced loss function. ⋮ Estimation of regression coefficients subject to exact linear restrictions when some observations are missing and quadratic error balanced loss function is used ⋮ Admissibility in general Gauss–Markov model with respect to an ellipsoidal constraint under weighted balanced loss ⋮ Linear approximate Bayes estimator for regression parameter with an inequality constraint ⋮ Estimating the error variance after a pre-test for an inequality restriction on the coefficients ⋮ A note on the properties of Stein-rule and inequality restricted estimators when the regression model is over-fitted ⋮ The exact density and distribution functions of the inequality constrained and pre-test estimators ⋮ Inadmissibility of the Stein-rule estimator under the balanced loss function ⋮ On generalized ridge regression estimators under collinearity and balanced loss

Uses Software

• NAG
• nag

Cites Work

• The exact risks of some pre-test and stein-type regression estimators umder balanced loss
• The non-optimality of interval restricted and pre-test estimators under squared error loss
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