A comparison of Stein-like procedures for estimating linear regression models with multicollinear data. (English) Zbl 0825.62164
Summary: This paper compares several Stein-like estimation methods for estimating regression parameters. The criterion function is the mean-squared error of prediction and the parameter of interest is the mean of the response variable at the sampled values of the control variables. Large sample simulation techniques are used to evaluate the mean-squared error of the predictions. The parameters of interest are varied systematically over wide ranges.
MSC:
| 62-XX | Statistics |
References:
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