Abstract
A new general method of combining estimators is proposed in order to obtain an estimator with “improved” small sample properties. It is based on a specification test statistic and incorporates some well-known methods like preliminary testing. It is used to derive an alternative estimator for the slope in the simple errors-in-variables model, combining OLS and the modified instrumental variable estimator by Fuller. Small sample properties of the new estimator are investigated by means of a Monte Carlo study.
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Fusek, I., Fusková, L. A combined estimator in the simple errors-in-variables model. Statistical Papers 30, 1–15 (1989). https://doi.org/10.1007/BF02924304
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DOI: https://doi.org/10.1007/BF02924304