Narrow search
Showing 1 - 10 of 220
Cover Image
On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative Economics 10 (2019) 3, pp. 931-979
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...
Persistent link: https://www.econbiz.de/10012215390
Cover Image
On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...
Persistent link: https://www.econbiz.de/10012049321
Cover Image
A Stein-like estimator for linear panel data models
Wang, Yun; Zhang, Yonghui; Zhou, Qiankun - In: Economics letters 141 (2016), pp. 156-161
Persistent link: https://www.econbiz.de/10011616233
Cover Image
On asymptotic risk of selecting models for possibly nonstationary time-series
Yu, Shu-Hui; Sin, Chor-yiu - In: Econometric reviews 40 (2021) 4, pp. 387-414
Persistent link: https://www.econbiz.de/10012515606
Cover Image
Essays on asset pricing and portfolio optimization
Koeppel, Christian - 2021
WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...
Persistent link: https://www.econbiz.de/10012651028
Cover Image
Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors
Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2011
This paper builds on a simple unified representation of shrinkage Bayes estimators based on hierarchical Normal …-Gamma priors. Various popular penalized least squares estimators for shrinkage and selection in regression models can be recovered … – 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …
Persistent link: https://www.econbiz.de/10009000949
Cover Image
On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2012
We show that the Adaptive LASSO is oracle efficient in stationary and non-stationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency...
Persistent link: https://www.econbiz.de/10009652367
Cover Image
Model averaging, asymptotic risk, and regressor groups
Hansen, Bruce E. - In: Quantitative Economics 5 (2014) 3, pp. 495-530
condition is a direct extension of the classic theory of James–Stein shrinkage. This discovery suggests the practical rule that …
Persistent link: https://www.econbiz.de/10011599663
Cover Image
A simple and successful shrinkage method for weighting estimators of treatment effects
Pohlmeier, Winfried; Seiberlich, Ruben; Uysal, Selver Derya - 2014
A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment …, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte …
Persistent link: https://www.econbiz.de/10011381919
Cover Image
Response smoothing estimators in binary regression
Tutz, Gerhard - 2003
A shrinkage type estimator is introduced which has favorable properties in binary regression. Although binary …
Persistent link: https://www.econbiz.de/10010265645