The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances

B-Tier
Journal: Econometric Theory
Year: 1986
Volume: 2
Issue: 2
Pages: 202-219

Authors (1)

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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].

Technical Details

RePEc Handle
repec:cup:etheor:v:2:y:1986:i:02:p:202-219_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25