Ӧ�ø���ͳ�� 2012, 28(2) 123-133 DOI:      ISSN: 1001-4268 CN: 31-1256

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On the Stochastic Restricted Liu Estimator under Misspecification due to Inclusion of Some Superfluous Variables
Xu Jianwen,Yang Hu
College of Mathematics and Statistics, Chongqing University
Abstract:

In this paper, we firstly derived the expressions
of the well-known ordinary least square estimator (OLSE), the
ordinary mixed estimator (OME) introduced by Theil and Golberger
(1961) and the stochastic restricted Liu estimator (SRLE) proposed
by Yang and Xu (2007) under misspecification due to inclusion of
some superfluous variables. Then, performances of these estimators
under misspecification are examined. In particular, necessary and
sufficient conditions for the superiority of the SRLE over the OLSE
and OME with respect to the mean squared error matrix (MSEM)
criterion are derived. Furthermore, superiority of the corresponding
predictors of these estimators are also investigated.

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