PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
遗漏相关解释变量时线性回归有偏估计量的预测均方误差
In this paper, we consider a linear regression model when relevant regressors are omitted. We derive the explicit formulae for the predictive mean squared errors (PMSEs) of the Stein-rule (SR) estimator, the positive-part Stein-rule (PSR) estimator, the minimum mean squared error (MMSE) estimator, and the adjusted minimum mean squared error (AMMSE) estimator. It is shown analytically that the PSR estimator dominates the SR estimator in terms of PMSE even when there are…