ON THE IMPROVED ESTIMATION OF STRUCTURAL COEFFICIENTS
ON THE IMPROVED ESTIMATION OF STRUCTURAL COEFFICIENTS
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关于结构系数的改进估计
DOI：
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发表时间：
2016
期刊：
影响因子：
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通讯作者：
V. K. Smvastava
中科院分区：
文献类型：
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作者：
A. Ullah;V. K. Smvastava
对于结构方程中系数的改进估计，Zellner和Vandaele（1975）考虑了一般二次损失函数下的stein型估计量，并采用两阶段最小二乘法得到了最小风险估计量。所得到的估计量涉及某些未知量，因此在应用中不可用。然而，他们提供了一个可操作的版本。Srivastava， Tiwari和Pandey（1978）考虑了一种稍微一般的估计量形式，并研究了它在扰动较小时的性质。然而，他们无法得到该估计量优于其他常规估计量的条件。本文给出了一类stein型估计量，并利用小扰动近似分析了它的性质。得到了特定损失函数下二阶最小二乘估计占优的条件。
For the improved estimation of coefficients in a structural equation, Zellner and Vandaele (1975) considered Stein-type estimators under a general quadratic loss function and obtained the minimum risk estimator applying two stage least squares method. The resulting estimator involved certain unknown quantities and hence unavailable in applications. An operational version of it was however offered by them. Srivastava, Tiwari and Pandey (1978) considered a slightly general form of the estimator and studied its properties when disturbances are small. They, however, could not obtain conditions for superiority of the proposed estimator over other conventional estima tors. This paper presents a class of Stein-type estimators, and analyzes its properties employing the small-disturbance approximations. Conditions for dominance over two stage least squares estimator under a specific loss function are obtained.