COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 682

"The Exact Distribution of the Stein-Rule Estimator"

Peter C.B. Phillips

November 1983

This paper derives the exact density of the Stein-rule estimator in the setting of the general linear regression. The derivation is facilitated by the author's development of new algebraic methods that involve an extension of the Weyl calculus. General formulae for the moments of the estimator are also provided.