Chaturvedi, Anoop; Hasegawa, Hikaru; Chaturvedi, Ajit; … - In: Econometric Theory 13 (1997) 03, pp. 406-429
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...