In this paper we consider the small sample properties of the coefficient of determination in a linear regression model with multivariate <italic>t</italic> errors when proxy variables are used instead of unobservable regressors. The results show that if the unobservable variable is an important variable, the...

In this present paper, considering a linear regression model with nonspherical disturbances, improved confidence sets for the regression coefficients vector are developed using the Stein rule estimators. We derive the large-sample approximations for the coverage probabilities and the expected...