Combining estimators to improve structural model estimation and inference under quadratic loss

DOI10.1016/J.JECONOM.2004.08.006zbMATH Open1334.62042OpenAlexW2050485838MaRDI QIDQ265010FDOQ265010

George G. Judge, Ron C. Mittelhammer

Publication date: 1 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.08.006

Recommendations

• A minimum mean squared error semiparametric combining estimator
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss
• A combined estimator in the simple errors-in-variables model
• scientific article; zbMATH DE number 3934230
• Combining regression quantile estimators

zbMATH Keywords

semiparametric estimationinstrumental variablescombined estimatorsdata dependent shrinkagequadratic loss

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Title not available (Why is that?)
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Bootstrap and randomization tests of some nonparametric hypotheses
• An Optimum Property of Regular Maximum Likelihood Estimation
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Empirical likelihood for linear models
• Empirical likelihood and general estimating equations
• Empirical likelihood
• Title not available (Why is that?)
• Title not available (Why is that?)
• Empirical likelihood ratio confidence intervals for a single functional
• Information Theoretic Approaches to Inference in Moment Condition Models
• GMM with Weak Identification
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• Title not available (Why is that?)
• Data Analysis Using Stein's Estimator and its Generalizations
• Empirical likelihood as a goodness-of-fit measure
• Goodness-of-fit statistics for discrete multivariate data
• The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
• The mean square error of a combined estimator and numerical comparison with the TSLS estimator
• Title not available (Why is that?)
• A James-Stein Type Estimator for Combining Unbiased and Possibly Biased Estimators
• Title not available (Why is that?)
• Miscellanea. Multiple roots in general estimating equations
• An empirical comparison of permutation methods for tests of partial regression coefficients in a linear model
• James-Stein-Type Estimators in Large Samples With Application to the Least Absolute Deviations Estimator
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Limiting the Risk of Bayes and Empirical Bayes Estimators--Part II: The Empirical Bayes Case
• A Semiparametric Basis for Combining Estimation Problems Under Quadratic Loss

Cited In (3)

• Estimation and inference in the case of competing sets of estimating equations
• Model averaging: a shrinkage perspective
• An averaging estimator for two-step m-estimation in semiparametric models

Uses Software

• bootstrap

This page was built for publication: Combining estimators to improve structural model estimation and inference under quadratic loss

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q265010)