Bootstrap confidence bands for shrinkage estimators

DOI10.1016/S0304-4076(98)00037-2zbMath0937.62045MaRDI QIDQ1305664

Camilla Kazimi, David Brownstone

Publication date: 22 September 1999

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

bootstrap; shrinkage estimators; confidence bands

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J07: Ridge regression; shrinkage estimators (Lasso)

62G15: Nonparametric tolerance and confidence regions

62G09: Nonparametric statistical resampling methods

Related Items

SEPARATE VERSUS SYSTEM METHODS OF STEIN-RULE ESTIMATION IN SEEMINGLY UNRELATED REGRESSION MODELS, An application of shrinkage estimation to the nonlinear regression model, Data-Based Adaptive Estimation in an Investment Model, Shrinkage confidence intervals for the normal mean: Using a guess for greater efficiency

Uses Software

• bootstrap

Cites Work

• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap-based critical values for tests of common factor restrictions
• Double bootstrap for shrinkage estimators
• Shrinkage domination in a multivariate common mean problem
• Robust estimation for the parameters of multiple-design multivariate linear models under general restriction
• Better Bootstrap Confidence Intervals
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• On Bootstrap Iteration for Coverage Correction in Confidence Intervals
• Finite sample moments of a bootstrap estimator of the james-stein rule
• Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
• The bootstrap and Edgeworth expansion
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