Efficient shrinkage in parametric models
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Publication:894642
DOI10.1016/J.JECONOM.2015.09.003zbMATH Open1419.62041OpenAlexW2168778510MaRDI QIDQ894642FDOQ894642
Publication date: 2 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.09.003
Recommendations
Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)
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Cited In (29)
- Model averaging for asymptotically optimal combined forecasts
- A James-Stein-type adjustment to bias correction in fixed effects panel models
- OPTIMAL MULTISTEP VAR FORECAST AVERAGING
- James-Stein estimation problem for a multivariate normal random matrix and an improved estimator
- Model averaging in semiparametric estimation of treatment effects
- A weighted average limited information maximum likelihood estimator
- Bonferroni-based size-correction for nonstandard testing problems
- Combining observational and experimental datasets using shrinkage estimators
- Constrained estimation using penalization and MCMC
- Shrinkage for categorical regressors
- Minimizing sensitivity to model misspecification
- Shrinkage estimation of the exponentiated Weibull regression model for time‐to‐event data
- Shrink wrapping for Taylor models revisited
- On the market price of risk
- Penalized likelihood methods for modeling count data
- Model averaging: a shrinkage perspective
- A ridge to homogeneity for linear models
- Joint inference based on Stein-type averaging estimators in the linear regression model
- Efficiency gains in least squares estimation: A new approach
- PMSE dominance of the positive-part shrinkage estimator in a regression model with proxy variables
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Weighted-average least squares estimation of generalized linear models
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- Satisficing credibility for heterogeneous risks
- An averaging estimator for two-step m-estimation in semiparametric models
- Robust empirical Bayes confidence intervals
- Efficient estimation for a subclass of shape invariant models
- Posterior Average Effects
- On the trade-off between model expansion, model shrinking, and parameter estimation accuracy in least-squares data analysis
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