The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances
非正态扰动模型中 Stein 规则估计量的分布
This paper derives the exact distribution and moments of the Stein-ruleestimator in a model where the disturbances follow a non-normal distribution of the Edgeworth or Gram-Charlier type. The results are achieved by combining the approach of Davis [4] for examining non-normality with the fractional calculus techniques of Phillips [11].