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Bayesian shrinkage estimates and forecasts of individual and total or aggregate outcomes

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  • Zellner, Arnold

Abstract

Bayesian shrinkage à la Stein and others can improve estimation of individual parameters and forecasts of individual future outcomes. In this paper the issue of the impact of shrinkage on the estimation of sums or totals of individual parameters and of individual outcomes is analyzed. Quadratic and "balanced" loss functions will be employed. The latter are a linear combination of "goodness of fit" and "precision of estimation" loss functions. Several examples will be analyzed in detail to illustrate general principles.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-515RHP3-1/2/afa5a572a796aedd141c7cd07afd054b
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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 27 (2010)
Issue (Month): 6 (November)
Pages: 1392-1397

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Handle: RePEc:eee:ecmode:v:27:y:2010:i:6:p:1392-1397

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Web page: http://www.elsevier.com/locate/inca/30411

Related research

Keywords: Bayesian-Stein shrinkage estimation and prediction of totals Balanced loss functions Shrinkage forecasts Multivariate shrinkage techniques;

References

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  1. Zellner, Arnold, 1998. "The finite sample properties of simultaneous equations' estimates and estimators Bayesian and non-Bayesian approaches," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 185-212.
  2. Zellner, Arnold & Chen, Bin, 2001. "Bayesian Modeling Of Economies And Data Requirements," Macroeconomic Dynamics, Cambridge University Press, vol. 5(05), pages 673-700, November.
  3. Tobias, Justin & Zellner, Arnold, 2001. "Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model," Staff General Research Papers 12021, Iowa State University, Department of Economics.
  4. Mittelhammer,Ron C. & Judge,George G. & Miller,Douglas J., 2000. "Econometric Foundations Pack with CD-ROM," Cambridge Books, Cambridge University Press, number 9780521623940, November.
  5. Dey, Dipak K. & Ghosh, Malay & Strawderman, William E., 1999. "On estimation with balanced loss functions," Statistics & Probability Letters, Elsevier, vol. 45(2), pages 97-101, November.
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Cited by:
  1. Mishra, Anil, 2013. "Measures of Equity Home Bias Puzzle," MPRA Paper 51223, University Library of Munich, Germany.

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