caa a22 4500 475826884 CHVBK 20180406123831.0 cr unu---uuuuu 170329e20000601xx s 000 0 eng 10.1023/A:1004169923370 doi (NATIONALLICENCE)springer-10.1023/A:1004169923370 Operational Variants of the Minimum Mean Squared Error Estimator in Linear Regression Models with Non-Spherical Disturbances [Elektronische Daten] [Alan Wan, Anoop Chaturvedi] There is a good deal of literature that investigates the properties of various operational variants of Theil's (1971, Principles of Econometrics, Wiley, New York) minimum mean squared error estimator. It is interesting that virtually all of the existing analysis to date is based on the premise that the model's disturbances are i.i.d., an assumption which is not satisfied in many practical situations. In this paper, we consider a model with non-spherical errors and derive the asymptotic distribution, bias and mean squared error of a general class of feasible minimum mean squared error estimators. A Monte-Carlo experiment is conducted to examine the performance of this class of estimators in finite samples. The Institute of Statistical Mathematics, 2000 Asymptotic expansion nationallicence quadratic loss nationallicence minimum mean squared error nationallicence risk nationallicence Stein-rule nationallicence Wan Alan Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China aut Chaturvedi Anoop Department of Mathematics and Statistics, University of Allahabad, 211002, Allahabad-, India aut Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 52/2(2000-06-01), 332-342 0020-3157 52:2<332 2000 52 10463 https://doi.org/10.1023/A:1004169923370 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1023/A:1004169923370 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Wan Alan Department of Management Sciences, City University of Hong Kong, Tat Chee Avenue, Kowloon, Hong Kong, China aut NATIONALLICENCE 700 1- Chaturvedi Anoop Department of Mathematics and Statistics, University of Allahabad, 211002, Allahabad-, India aut NATIONALLICENCE 773 0- Annals of the Institute of Statistical Mathematics Kluwer Academic Publishers 52/2(2000-06-01), 332-342 0020-3157 52:2<332 2000 52 10463 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer