Superiority of the Stochastic Restricted Liu Estimator under misspecification

M. Hubert & P. Wijekoon
This paper deals with the use of correct prior infromation in the estimation of regres-sion coefficients when the regression model is misspecified due to the exclusion of some relevant regressor variables. In particular, the attention is focused on the Stochastic Re-stricted Liu estimator introduced by Hubert and Wijekoon (2004), which outperforms Liu estimator with respect to the matrix mean squared error matrix criterion. Further the su-periority of the Stochastic Restricted Liu predictor over the Liu...