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Titolo:
A simultaneous estimation and variable selection rule
Autore:
Golan, A;
Indirizzi:
American Univ, Dept Econ, Washington, DC 20016 USA American Univ Washington DC USA 20016 Dept Econ, Washington, DC 20016 USA
Titolo Testata:
JOURNAL OF ECONOMETRICS
fascicolo: 1, volume: 101, anno: 2001,
pagine: 165 - 193
SICI:
0304-4076(200103)101:1<165:ASEAVS>2.0.ZU;2-0
Fonte:
ISI
Lingua:
ENG
Soggetto:
EMPIRICAL LIKELIHOOD; MAXIMUM-ENTROPY; MODEL SELECTION; LINEAR-REGRESSION; PRIOR INFORMATION; BAYES FACTORS; INFERENCE; CRITERIA;
Keywords:
shrinkage estimator; maximum entropy; extraneous variables; squared error loss; data weighted prior; subset selection;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
--discip_BC--
Citazioni:
65
Recensione:
Indirizzi per estratti:
Indirizzo: Golan, A American Univ, Dept Econ, Roper 200,4400 Massachusetts Ave NW, Washington,DC 20016 USA American Univ Roper 200,4400 Massachusetts Ave NW Washington DC USA 20016
Citazione:
A. Golan, "A simultaneous estimation and variable selection rule", J ECONOMET, 101(1), 2001, pp. 165-193

Abstract

A new data-based method of estimation and variable selection in linear statistical models is proposed. This method is based on a generalized maximum entropy formalism, and makes use of both sample and non-sample information in determining a basis for coefficient shrinkage and extraneous variable identification. In contrast to tradition, shrinkage and variable selection are achieved on a coordinate-by-coordinate basis, and the procedure works well for both ill- and well-posed statistical models. Analytical asymptotic results are presented and sampling experiments are used as a basis for determining finite sample behavior and comparing the sampling performance of the new estimation rule with traditional competitors. Solution algorithms for the non-linear inversion problem that results are simple to implement. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification: C13; C14; C5.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 04/04/20 alle ore 02:32:31