Showing 71 - 80 of 293
ENGLISH ABSTRACT: Excessive shrinkage threatens the viability of retailers, especially grocery retailersbecause they … excessive shrinkage, but South African law generally requires that theemployer prove individual culpability or poor performance … to justify a dismissal. Inmost cases, retailers are not able to identify the exact causes of shrinkage or thoseemployees …
Persistent link: https://www.econbiz.de/10009442044
, shrinkage and forecast combinations. …
Persistent link: https://www.econbiz.de/10010326529
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/10010329140
indispensable tool of the practitioner. A feature of the lasso is a “tuning” parameter that controls the amount of shrinkage applied …
Persistent link: https://www.econbiz.de/10011056566
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
Persistent link: https://www.econbiz.de/10011079278
. Indeed, this enforces a form of shrinkage on the weights which ensures good out-of-sample performance of the combined …
Persistent link: https://www.econbiz.de/10011083557
We propose to model endogeneity bias using prior distributions of moment conditions. The estimator can be obtained both as a method-of-moments estimator and in a Ridge penalized regression framework. We show the estimator's relation to a Bayesian estimator.
Persistent link: https://www.econbiz.de/10011268906
There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large … develop priors for panel VARs (PVARs). The parametric and semi-parametric priors I suggest not only perform valuable shrinkage …
Persistent link: https://www.econbiz.de/10011272688
to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage …
Persistent link: https://www.econbiz.de/10010280764
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