Mean squared error matrix comparison of least aquares and Stein-rule estimators for regression coefficients under non-normal disturbances

摘要

Choosing the performance criterion to be mean squared error matrix, we have compared the least squares and Stein-rule estimators for regression coefficients in a linear regression model when the disturbances are not necessarily normally distributed. It is shown that none of the two estimators dominates the other, except in the trivial case of merely one regression coefficient where least squares estimator is found to be superior in comparison to Stein-rule estimator.