Finite sample moments of a bootstrap estimator of the james-stein rule
- 1 January 1992
- journal article
- research article
- Published by Taylor & Francis in Econometric Reviews
- Vol. 11 (2) , 173-193
- https://doi.org/10.1080/07474939208800230
Abstract
The finite sample moments of the bootstrap estimator of the James-Stein rule are derived and shown to be biased. Analytical results shed some light upon the source of bias and suggest that the bootstrap will be biased in other settings where the moments of the statistic of interest depends on nonlinear functions of the parameters of its distribution.Keywords
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