A simultaneous estimation and variable selection rule

DOI10.1016/S0304-4076(00)00078-6zbMath0967.62098OpenAlexW2050179599MaRDI QIDQ5931143

Amos Golan

Publication date: 2 September 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00078-6

zbMATH Keywords

subset selectiondata weighted priorextraneous variablesmaximum entropyshrinkage estimatorsquared error loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (5)

Freedman’s Paradox: A Solution Based on Normalized Entropy ⋮ Information Theoretic and Entropy Methods: An Overview ⋮ A Composite Generalized Cross-Entropy Formulation in Small Samples Estimation ⋮ Model Selection in a System of Simultaneous Equations Model ⋮ Comparison of maximum entropy and higher-order entropy estimators.

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