Improved estimation of the disturbance variance in a linear regression model
Publication
, Journal Article
Gelfand, AE; Dey, DK
Published in: Journal of Econometrics
January 1, 1988
In this paper we consider estimation of the disturbance variance in a linear regression model. A new class of improved estimators is obtained by extending results dating to Stein (1964). These estimators dominate the ordinary least squares estimator under squared error loss. © 1988.
Duke Scholars
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1988
Volume
39
Issue
3
Start / End Page
387 / 395
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
Gelfand, A. E., & Dey, D. K. (1988). Improved estimation of the disturbance variance in a linear regression model. Journal of Econometrics, 39(3), 387–395. https://doi.org/10.1016/0304-4076(88)90065-6
Gelfand, A. E., and D. K. Dey. “Improved estimation of the disturbance variance in a linear regression model.” Journal of Econometrics 39, no. 3 (January 1, 1988): 387–95. https://doi.org/10.1016/0304-4076(88)90065-6.
Gelfand AE, Dey DK. Improved estimation of the disturbance variance in a linear regression model. Journal of Econometrics. 1988 Jan 1;39(3):387–95.
Gelfand, A. E., and D. K. Dey. “Improved estimation of the disturbance variance in a linear regression model.” Journal of Econometrics, vol. 39, no. 3, Jan. 1988, pp. 387–95. Scopus, doi:10.1016/0304-4076(88)90065-6.
Gelfand AE, Dey DK. Improved estimation of the disturbance variance in a linear regression model. Journal of Econometrics. 1988 Jan 1;39(3):387–395.
Published In
Journal of Econometrics
DOI
ISSN
0304-4076
Publication Date
January 1, 1988
Volume
39
Issue
3
Start / End Page
387 / 395
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 3801 Applied economics
- 1403 Econometrics
- 1402 Applied Economics
- 0104 Statistics