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Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors

Hillebrand, Eric; Lee, Tae-Hwy - School of Economics and Management, University of Aarhus - 2012

We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are many predictors in a linear time series model. We consider the Stein-rule estimator of Hill and Judge (1987) that shrinks the unrestricted unbiased OLS estimator towards a...

Persistent link: https://www.econbiz.de/10010851208

The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Braess, Dietrich; Dette, Holger - 2004

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation …

Persistent link: https://www.econbiz.de/10010306274

Information recovery in a dynamic statistical Markov model

Miller, Douglas J.; Judge, George - In: Econometrics 3 (2015) 2, pp. 187-198

Although economic processes and systems are in general simple in nature, the underlying dynamics are complicated and seldom understood. Recognizing this, in this paper we use a nonstationary-conditional Markov process model of observed aggregate data to learn about and recover causal influence...

Persistent link: https://www.econbiz.de/10011755276

A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss

Judge, George G.; Mittelhammer, Ronald C. - 2003

relationship of the SPSL estimator to the family of Stein estimators is noted and risk dominance extensions between correlated … corresponding SPSL estimator. Asymptotic and analytic finite sample risk properties of the estimator are demonstrated. An extensive …

Persistent link: https://www.econbiz.de/10009442593

The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Braess, Dietrich; Dette, Holger - Institut für Wirtschafts- und Sozialstatistik, … - 2004

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation …

Persistent link: https://www.econbiz.de/10009295162

Information Recovery in a Dynamic Statistical Markov Model

Miller, Douglas J.; Judge, George - In: Econometrics 3 (2015) 2, pp. 187-198

Persistent link: https://www.econbiz.de/10011211017

A Semi-Parametric Basis for Combining Estimation Problems Under Quadratic Loss

Judge, George G.; Mittelhammer, Ron C - Department of Agricultural and Resource Economics, … - 2003

estimator. The relationship of the SPSL estimator to the family of Stein estimators is noted and risk dominance extensions … matrix and devise a corresponding SPSL estimator. Asymptotic and analytic finite sample risk properties of the estimator are …

Persistent link: https://www.econbiz.de/10010537488

Estimating the Link Function in Multinomial Response Models under Endogeneity and Quadratic Loss

Judge, George G.; Mittelhammer, Ron C - Department of Agricultural and Resource Economics, … - 2004

estimator that seeks an optimal combination of estimators and results in superior risk performance under quadratic loss is also …

Persistent link: https://www.econbiz.de/10010537491

Information recovery in a dynamic statistical Markov model

Miller, Douglas J.; Judge, George G. - In: Econometrics : open access journal 3 (2015) 2, pp. 187-198

Persistent link: https://www.econbiz.de/10011290690

The asymptotic minimax risk for the estimation of constrained binomial and multinomial probabilities

Braess, Dietrich; Dette, Holger - 2004

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation …

Persistent link: https://www.econbiz.de/10010516921