Generalized Bayes Stein-Type Estimators for Regression Parameters under Linear Constraints

The problem of estimating the k-dimensional parameter vector in a linear regression model with m linear restrictions is considered. The proposed estimators are generalized Bayes with respect to a prior distribution compatible with the linear restrictions. Under certain conditions some of the generalized Bayes estimators dominate the ordinary least-squares estimator and are admissible.

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Year of publication:	1993
Authors:	Hoffmann, K.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 46.1993, 1, p. 120-130
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221541