Toutenburg, Helge and Shalabh
Use of minimum risk approach in the estimation of regression models with missing observation.
Collaborative Research Center 386, Discussion Paper 118
This article considers a linear regression model with some missing observations on the response variable and presents two estimators of regression coefficients employing the approach of minimum risk estimation. Asymptotic properties of these estimators along with the traditional unbiased estimator are analyzed and conditions, that are easy to check in practice, for the superiority of one estimator over the other are derived.