IDEAS home Printed from https://ideas.repec.org/p/boc/chic11/14.html
   My bibliography  Save this paper

An interpretation and implementation of the Theil-Goldberger 'mixed' estimator

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

Abstract

Theil and Goldberger (Int. Ec. Rev., 1961) and Theil (JASA, 1963) proposed a generalized least squares approach to 'mixing' sample information and prior beliefs about the coefficients of a regression equation. Their 'mixed' estimator may be considered as a stochastic version of constrained least squares (Stata's cnsreg). Although based on frequentist statistics, the TG estimator is identical to that used in a Bayesian estimation approach when an informative prior density is employed (Greene text, 2008). It may also be viewed as a 'one-shot' application of the Kalman filter, providing an updating equation for point and interval coefficients based on prior and sample information (Cuthbertson et al. text, 1992). I discuss the motivation for the estimator and my implementation in Stata code, tgmixed, and give illustrations of how it might be usefully employed.

Suggested Citation

  • Christopher F Baum, 2011. "An interpretation and implementation of the Theil-Goldberger 'mixed' estimator," CHI11 Stata Conference 14, Stata Users Group.
    • Handle: RePEc:boc:chic11:14
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/chic2011/chi11_baum.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boc:chic11:14. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/stataea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.