Comparison of the Iterative Stein-Rule and the Usual Estimators of the Disturbance Variance Under the Pitman Nearness Criterion in a Linear Regression Model with Proxy Variables

Abstract

In a linear regression model with proxy variables, the iterative Stein-rule estimator and the usual estimator of the disturbance variance is compared under the Pitman Nearness Criterion. The exact expression of Pitman Nearness probability is derived and numerically evaluated.

Keywords:

• Iterative Stein-rule estimator
• Pitman Nearness Criterion
• Proxy variable
• Stein-rule estimator

Mathematics Subject Classification:

• Primary 62J05
• Secondary 62J07