Hansen, Bruce E. - In: Quantitative economics : QE ; journal of the … 5 (2014) 3, pp. 495-530
This paper examines the asymptotic risk of nested least-squares averaging estimators when the averaging weights are … selected to minimize a penalized least-squares criterion. We find conditions under which the asymptotic risk of the averaging … condition is a direct extension of the classic theory of James-Stein shrinkage. This discovery suggests the practical rule that …
