The Statistical Properties of the Equity Estimator: A Reply.

R. C. Hill and P. A. Cartwright (1994) examined the relative performance of ordinary least squares, the equity estimator, and the Stein estimator on four scanner data sets. Based on this limited simulation, they claimed that the Stein estimator is an attractive alternative to the equity estimator. In this reply, the authors demonstrate that Hill and Cartwright's conclusions are not well founded and that a more comprehensive evaluation indicates that the equity estimator dominates the Stein estimator in wide regions of the parameter space.