IDEAS home Printed from https://ideas.repec.org/a/cuf/journl/y2001v2i1p1-30.html
   My bibliography  Save this article

A Comparative Study of Different Shrinkage Estimators for Panel Data Models

Author

Listed:
  • 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.

Suggested Citation

  • G. S. Maddala & Hongyi Li & V. K. Srivastava, 2001. "A Comparative Study of Different Shrinkage Estimators for Panel Data Models," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 1-30, May.
  • Handle: RePEc:cuf:journl:y:2001:v:2:i:1:p:1-30
    as

    Download full text from publisher

    File URL: http://www.aeconf.net/Articles/May2001/aef020101.pdf
    Download Restriction: no

    File URL: http://down.aefweb.net/AefArticles/aef020101.pdf
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Herbert Brücker & Boriss Siliverstovs, 2006. "On the estimation and forecasting of international migration: how relevant is heterogeneity across countries?," Empirical Economics, Springer, vol. 31(3), pages 735-754, September.
    2. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    3. R. McAfee & Philip Reny, 2007. "The role of excess capacity in determining market power in natural gas transportation markets," Journal of Regulatory Economics, Springer, vol. 32(3), pages 209-223, December.

    More about this item

    Keywords

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

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

    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:cuf:journl:y:2001:v:2:i:1:p:1-30. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Qiang Gao). General contact details of provider: http://edirc.repec.org/data/emcufcn.html .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.