A Stein-like estimator for linear panel data models

DOI10.1016/J.ECONLET.2016.02.016zbMath1398.62376OpenAlexW2292249562MaRDI QIDQ1668195

Yun Wang, Yonghui Zhang, Qiankun Zhou

Publication date: 3 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.02.016

zbMATH Keywords

fixed effectsrandom effectspanel dataasymptotic riskStein estimatorHausman pretest

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (2)

Combined fixed and random effects estimators ⋮ Shrinkage estimation of panel data models with interactive effects

Cites Work

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• The impact of a Hausman pretest, applied to panel data, on the coverage probability of confidence intervals
• The impact of a Hausman pretest on the size of a hypothesis test: the panel data case
• Fixed, random, or something in between? A variant of Hausman's specification test for panel data estimators
• Estimation of the mean of a multivariate normal distribution
• Fixed effects, random effects or Hausman-Taylor: a pretest estimator
• Test of random versus fixed effects with small within variation
• Panel Data and Unobservable Individual Effects
• A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
• Specification Tests in Econometrics

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