Performance of double k-class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses

The risk associated with the estimators of the family of feasible generalized double k-class estimators under the LINEX loss function is derived in a linear regression model. The disturbances are assumed to be non-spherical and their variance–covariance matrix is unknown. A simulation study is conducted to study the risk of some important estimators in the family of feasible generalized double k-class estimators.

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Year of publication:	2012
Authors:	Shalabh ; Garg, G. ; Heumann, C.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 112.2012, C, p. 35-47
Publisher:	Elsevier
Subject:	Multiple linear regression \| Double k-class estimator \| LINEX loss function

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

Persistent link: https://www.econbiz.de/10010594233