Bayesian shrinkage estimates and forecasts of individual and total or aggregate outcomes
AbstractBayesian 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Economic Modelling.
Volume (Year): 27 (2010)
Issue (Month): 6 (November)
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/30411
Bayesian-Stein shrinkage estimation and prediction of totals Balanced loss functions Shrinkage forecasts Multivariate shrinkage techniques;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Zellner, Arnold & Tobias, Justin, 2001.
"Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(1), pages 121-40, February.
- 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.
- Mittelhammer,Ron C. & Judge,George G. & Miller,Douglas J., 2000. "Econometric Foundations Pack with CD-ROM," Cambridge Books, Cambridge University Press, number 9780521623940, October.
- Zellner, Arnold & Chen, Bin, 2001. "Bayesian Modeling Of Economies And Data Requirements," Macroeconomic Dynamics, Cambridge University Press, vol. 5(05), pages 673-700, November.
- 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.
- Mishra, Anil, 2013. "Measures of Equity Home Bias Puzzle," MPRA Paper 51223, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.