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Some Further Results on the Use of Proxy Variables in Prediction

Peter Stahlecker and Götz Trenkler
The Review of Economics and Statistics
Vol. 75, No. 4 (Nov., 1993), pp. 707-711
Published by: The MIT Press
DOI: 10.2307/2110026
Stable URL: http://www.jstor.org/stable/2110026
Page Count: 5
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Some Further Results on the Use of Proxy Variables in Prediction
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Abstract

In econometric analysis, occasionally some of the regressors are not available. In this paper we study the implications of two strategies: Either cancel these regressors from the model or use proxy variables instead. It is analyzed which of both strategies leads to an improvement in conditional prediction of the systematic part in terms of the mean square error criterion. Furthermore some characterizations for admissibility are given.

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