Hillebrand, Eric; Lee, Tae-hwy - In: 30th anniversary edition, (pp. 171-196). 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 ordinary least squares (OLS)...
