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Application of Pre-Test and Stein Estimators to Economic Data
Dennis J. Aigner and George G. Judge
Vol. 45, No. 5 (Jul., 1977), pp. 1279-1288
Published by: The Econometric Society
Stable URL: http://www.jstor.org/stable/1914073
Page Count: 10
You can always find the topics here!Topics: Estimators, Statistical estimation, Maximum likelihood estimation, Estimators for the mean, Point estimators, Least squares, Minimax, Coefficients, Statistics, Econometrics
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A limiting feature of several theoretically superior "shrinkage" estimators for the linear regression model lies in the fact that there must be a certain degree of orthogonality in regressors in order for them to dominate the ordinary least squares estimator. In this paper we apply variants of pre-test and Stein estimators to data on international trade, and discuss their merits in light of the limitations imposed by the non-orthogonality of these and other sets of economic data.
Econometrica © 1977 The Econometric Society