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

Published online by Cambridge University Press:  18 October 2010

John. L. Knight
John. L. Knight
Affiliation:
School of Economics, The University of New South Wales Department of Economics, University of Western Ontario
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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].

Type
Articles
Information
Econometric Theory , Volume 2 , Issue 2 , August 1986 , pp. 202 - 219
Copyright
Copyright © Cambridge University Press 1986

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