Bayesian shrinkage estimates and forecasts of individual and total or aggregate outcomes

C-Tier
Journal: Economic Modeling
Year: 2010
Volume: 27
Issue: 6
Pages: 1392-1397

Authors (1)

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Bayesian shrinkage à la Stein and others can improve estimation of individual parameters and forecasts of individual future outcomes. In this paper the issue of the impact of shrinkage on the estimation of sums or totals of individual parameters and of individual outcomes is analyzed. Quadratic and "balanced" loss functions will be employed. The latter are a linear combination of "goodness of fit" and "precision of estimation" loss functions. Several examples will be analyzed in detail to illustrate general principles.

Technical Details

RePEc Handle
repec:eee:ecmode:v:27:y:2010:i:6:p:1392-1397
Journal Field
General
Author Count
1
Added to Database
2026-01-29