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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

A shrinkage instrumental variable estimator for large datasets

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …

Persistent link: https://www.econbiz.de/10010284174

Penalized quantile regression with semiparametric correlated effects : applications with heterogeneous preferences

Harding, Matthew C.; Lamarche, Carlos - 2013

This paper proposes new ℓ1-penalized quantile regression estimators for panel data, which explicitly allows for individual heterogeneity associated with covariates. We conduct Monte Carlo simulations to assess the small sample performance of the new estimators and provide comparisons of new...

Persistent link: https://www.econbiz.de/10010238040

Short-term hedge fund performance

Slavutskaya, Anna - In: Journal of banking & finance 37 (2013) 11, pp. 4404-4431

Persistent link: https://www.econbiz.de/10010247030

A Hausman-Taylor instrumental variable approach to the penalized estimation of quantile panel models

Harding, Matthew C.; Lamarche, Carlos - In: Economics letters 124 (2014) 2, pp. 176-179

Persistent link: https://www.econbiz.de/10010493170

Clustering dynamics and persistence for financial multivariate panel data

João, Igor Custodio; Lucas, André; Schaumburg, Julia - 2021

-sectional clustering techniques using shrinkage towards previous cluster means. In this way, the different cross-sections in the panel are …

Persistent link: https://www.econbiz.de/10012510678

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

Persistent link: https://www.econbiz.de/10013176894

Forecasting with panel data : estimation uncertainty versus parameter heterogeneity

Pasaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022

Persistent link: https://www.econbiz.de/10013263441

Stein-like shrinkage estimation of panel data models with common correlated effects

Huang, Bai; Lee, Tae-hwy; Ullah, Aman - 2019

Persistent link: https://www.econbiz.de/10012244158

Penalized quantile regression with semiparametric correlated effects : an application with heterogeneous preferences

Harding, Matthew C.; Lamarche, Carlos - In: Journal of applied econometrics 32 (2017) 2, pp. 342-358

Persistent link: https://www.econbiz.de/10011689797

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