A sufficient condition for the MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated in a misspecified linear regression model
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DOI: 10.1080/00949655.2018.1448982
Abstract: ABSTRACT In this paper, assuming that there exist omitted explanatory variables in the specified model, we derive the exact formula for the mean squared error (MSE) of a general family of shrinkage estimators for each… read more here.
Keywords: mse; regression; shrinkage estimators; regression coefficient ... See more keywords