Consider a linear regression model with some relevant regressors are unobservable. In such a situation, we estimate the model by using the proxy variables as regressors or by simply omitting the relevant regressors. In this paper, we derive the explicit formula of the predictive mean squared...

In this paper, we consider a regression model with omitted relevant regressors and a general family of shrinkage estimators of regression coefficients. We derive the formula for the predictive mean squared error (PMSE) of the estimators. It is shown analytically that the positive-part shrinkage...