Shrinkage estimation strategy in quasi-likelihood models
AbstractIn this paper we consider the estimation problem for the quasi-likelihood model in presence of non-sample information (NSI). More specifically, we introduce a shrinkage estimation strategy for simultaneous model selection and parameter estimation by using the maximum quasi-likelihood estimates as the benchmark estimator, and define the pretest estimator (PTE), shrinkage estimator (SE) and positive-rule shrinkage estimator (PSE). Furthermore, we apply the lasso-type estimation strategy and compare the relative performance of lasso with the suggested estimators. The shrinkage estimators are shown to be efficient estimators compared to others. When the NSI is true the PTE has less risk compared to shrinkage and lasso estimators.
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.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 12 ()
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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.:
- Kazimi, Camilla & Brownstone, David, 1999. "Bootstrap confidence bands for shrinkage estimators," Journal of Econometrics, Elsevier, vol. 90(1), pages 99-127, May.
- Maeyama, Yusuke & Tamaki, Kenichiro & Taniguchi, Masanobu, 2011. "Preliminary test estimation for spectra," Statistics & Probability Letters, Elsevier, vol. 81(11), pages 1580-1587, November.
- Ahmed, S. Ejaz & Volodin, Andrei I. & Volodin, Igor N., 2009. "High order approximation for the coverage probability by a confident set centered at the positive-part James-Stein estimator," Statistics & Probability Letters, Elsevier, vol. 79(17), pages 1823-1828, September.
- Gurmu, Shiferaw & Trivedi, Pravin K, 1996. "Excess Zeros in Count Models for Recreational Trips," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 469-77, October.
- Ahmed, S. E., 1991. "To pool or not to pool: The discrete data," Statistics & Probability Letters, Elsevier, vol. 11(3), pages 233-237, March.
- Christine Seller & John R. Stoll & Jean-Paul Chavas, 1985. "Validation of Empirical Measures of Welfare Change: A Comparison of Nonmarket Techniques," Land Economics, University of Wisconsin Press, vol. 62(2), pages 156-175.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.