Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
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References listed on IDEAS
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More about this item
KeywordsStein-rule; shrinkage; risk; variance-bias tradeo; OLS; principal components.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-15 (All new papers)
- NEP-ECM-2012-05-15 (Econometrics)
- NEP-ETS-2012-05-15 (Econometric Time Series)
- NEP-FOR-2012-05-15 (Forecasting)
- NEP-ORE-2012-05-15 (Operations Research)
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