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A Comparative Study of Different Shrinkage Estimators for Panel Data Models

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Author Info

  • G. S. Maddala

    (Department of Economics, Ohio State University)

  • Hongyi Li

    (Department of Decision Sciences and Managerial Economics, Chinese University of Hong Kong)

  • V. K. Srivastava

    (Lucknow University)

Abstract

The present paper uses small-sigma asymptotics to show that in general the shrinkage estimators have superior properties among the individual least squares estimators, the simple average estimators, the weighted average estimators, estimators obtained by shrinking towards the simple average, and estimators obtained by shrinking towards the weighted average. The shrinkage estimators are used to derive short-run and long-run price and income elasticities for residential natural gas demand and electricity demand in the US based on panel data covering 49 states over 21 years (1970-90). They are also used for out of sample forecasting.

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Bibliographic Info

Article provided by Society for AEF in its journal Annals of Economics and Finance.

Volume (Year): 2 (2001)
Issue (Month): 1 (May)
Pages: 1-30

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Handle: RePEc:cuf:journl:y:2001:v:2:i:1:p:1-30

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Related research

Keywords: Bayesian shrinkage estimator; Parameter heterogeneity; Stein-rule estimator;

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Cited by:
  1. R. McAfee & Philip Reny, 2007. "The role of excess capacity in determining market power in natural gas transportation markets," Journal of Regulatory Economics, Springer, Springer, vol. 32(3), pages 209-223, December.
  2. Brücker, Herbert & Siliverstovs, Boriss, 2005. "On the Estimation and Forecasting of International Migration: How Relevant Is Heterogeneity Across Countries?," IZA Discussion Papers 1710, Institute for the Study of Labor (IZA).
  3. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4404-4431.

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