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Confidence Sets for the Coefficients Vector of a Linear Regression Model with Nonspherical Disturbances

Published online by Cambridge University Press:  11 February 2009

Anoop Chaturvedi,
Hikaru Hasegawa,
Ajit Chaturvedi and
Govind Shukla
Anoop Chaturvedi
Affiliation:
University of Allahabad
Hikaru Hasegawa
Affiliation:
Hokkaido University
Ajit Chaturvedi
Affiliation:
Meerut University
Govind Shukla
Affiliation:
University of Allahabad
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Abstract

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 volumes of the confidence sets based on the feasible generalized least-squares estimator and the Stein rule estimator and discuss their ranking.

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Type
Articles
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Econometric Theory , Volume 13 , Issue 3 , June 1997, pp. 406 - 429
Copyright
Copyright © Cambridge University Press 1997

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References

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