A distribution function of the F-ratio when the Stein-rule estimator is used in place of the OLS estimator

DOI10.1016/0165-1765(86)90184-9zbMath1328.62463OpenAlexW1972129119MaRDI QIDQ899840

Kazuhiro Ohtani

Publication date: 1 January 2016

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

Full work available at URL: https://doi.org/10.1016/0165-1765(86)90184-9

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• The approximate distribution function of the Stein-rule estimator
• On assessing the precision of Stein's estimator
• Bounds of the F-ratio incorporating the ordinary ridge regression estimator
• The sampling distribution of shrinkage estimators and their F-ratios in the regression model
• A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
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