Performance of double -class estimators for coefficients in linear regression models with non-spherical disturbances under asymmetric losses

Abstract: The risk associated with the estimators of the family of feasible generalized double -class estimators under the LINEX loss function is derived in a linear regression model. The disturbances are assumed to be non-spherical and their variance–covariance matrix is unknown. A simulation study is conducted to study the risk of some important estimators in the family of feasible generalized double -class estimators. [Copyright &y& Elsevier]