Performance of the 2SHI estimator under the generalised pitman nearness criterion

Abstract

The paper considers an extension of Tran Van Hoa's family of 2SHI (two stage hierarchical information) estimators for the coefficient vector of a linear regression model and derives the conditions for the dominance of the 2SHI estimator over the OLS and Stein rule estimators under a Generalized Pitman Nearness (GPN) criterion when the disturbance variable is small.

Keywords:

• linear regression model
• GPN criterion
• OLS and MLE estimators
• Stein estimators
• 2SHI estimators

^∗This work was carned out during the second author's visit to the Department of Economics, University of Wollongong, as a Visiting Lecturer The financial support and research facilities from the Department are greatly appreciated

^∗This work was carned out during the second author's visit to the Department of Economics, University of Wollongong, as a Visiting Lecturer The financial support and research facilities from the Department are greatly appreciated

Notes

^∗This work was carned out during the second author's visit to the Department of Economics, University of Wollongong, as a Visiting Lecturer The financial support and research facilities from the Department are greatly appreciated