Publications [#258298] of Alan E. Gelfand
search .Papers Published
- Gelfand, AE; Dey, DK. "Improved Estimation of a Disturbance Variance." Journal of Econometrics 39.3 (1988): 387-395.
(last updated on 2023/06/01)Abstract:
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.