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Small Sample Properties of a Pre-test Stein-Rule Estimator for Each Individual Regression Coefficient under an Alternative Null Hypothesis in the Pre-test

明生 難波 & 一博 大谷

Kobe University Economic Review2012article
ABDC C
Weight
0.31

What the paper says

In this paper we consider a pre-test Stein-rule (SR) estimator for each individual regression coefficient when the null hypothesis in the pre-test is that the regression coefficient to be estimated is a zero. We derive the explicit formula for the MSE of the pre-test SR estimator, and examine the MSE performance of the pre-test SR estimator by numerical evaluations. Our numerical results show that using the null hypothesis that all the regression coefficients are zeros yields a better MSE performance than using the null hypothesis that the regression coefficient to be estimated is a zero.

1 citation

Cite this paper

@article{明生2012,
  title        = {{Small Sample Properties of a Pre-test Stein-Rule Estimator for Each Individual Regression Coefficient under an Alternative Null Hypothesis in the Pre-test}},
  author       = {明生 難波 & 一博 大谷},
  journal      = {Kobe University Economic Review},
  year         = {2012},
}

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Small Sample Properties of a Pre-test Stein-Rule Estimator for Each Individual Regression Coefficient under an Alternative Null Hypothesis in the Pre-test

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Evidence weight

0.31

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.15 × 0.4 = 0.06
M · momentum0.20 × 0.15 = 0.03
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.