A coverage approach to evaluating mean square error

We propose a new method for evaluating the mean square error (mse) of a possibly biased estimator θ1,or,rather,the class of estimators to which it belongs. the method uses confidence intervals c of a corresponding unbiased estimator θ and makes its assessment based on the extent to which c includes θ 1. the method does not require an estimate,implicit or explicit,of the bias of θ 1,is indifferent to the bias/variance breakdown of θ 1's mse,and does not require surety of a model on which θ 1 is based.