THE EXACT GENERAL FORMULAS FOR THE MOMENTS AND THE MSE DOMINANCE OF THE STEIN-RULE AND POSITIVE-PART STEIN-RULE ESTIMATORS

Authors
OHTANI K KOZUMI H
Citation
K. Ohtani et H. Kozumi, THE EXACT GENERAL FORMULAS FOR THE MOMENTS AND THE MSE DOMINANCE OF THE STEIN-RULE AND POSITIVE-PART STEIN-RULE ESTIMATORS, Journal of econometrics, 74(2), 1996, pp. 273-287
Citations number
13
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
74
Issue
2
Year of publication
1996
Pages
273 - 287
Database
ISI
SICI code
0304-4076(1996)74:2<273:TEGFFT>2.0.ZU;2-X
Abstract
In this paper, we derive the general formulae for the moments of a lin ear functional of the Stein-rule and positive-part Stein-rule estimato rs (i.e., h'b(SR) and h'b(PSR)) in a different way from Phillips (1984 ). The RISE dominance of h'b(PSR) over h'b(SR) and a sufficient condit ion for h'b(SR) to dominate a linear functional of the OLS estimator ( h'b) are shown. Using the formulae for the moments, we evaluate numeri cally the first four moments of b(SR) and b(PSR), and examine the bias , variance, RISE, skewness, and kurtosis.