Improved Estimators in Linear Regression with Non-Spherical Disturbances
by
Suchita Kesarwani
Department of Statistics, University of Allahabad, Allahabad, India
Coauthors: Anoop Chaturvedi, Department of Statistics, University of Allahabad, Allahabad, India

The present paper considers a family of improved Stein-type estimator which has the OLS estimator, FGLS estimator, FGKK estimator and AFMMSE estimator etc. as its special cases. The Edgeworth type asymptotic expansion for the distribution of the family of proposed estimators has been derived. The dominance conditions for the proposed estimator over the FGLS estimator and Stein-rule estimator have been established under the criterion of Quadratic loss function and Pitman nearness criterion.

Date received: October 25, 2004