Abstract
Stein-Rule estimator for regression problems has been studied by several authors including Sclove (1968) and others listed in Vinod's (1978) survey. Ullah and Ullah (1978) provide the expressions for the mean squared error ( MSE) of a double k-class ( KK) estimator with parameters k 1 and k 2. When k 2=1 the Stein-Rule estimator becomes a special case of KK and an optimal choice of k 1 is known. This paper explores optimal theoretical choice of k 1 and k 2. We note that negative choices of k 2 are permissible, and that thereis a large range of choices for K 1 and k 2 where the MSE of the Stein-Rule estimator can be reduced for regression problems based on multicollinear data. A simulation experiment is included.
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