The New Palgrave Dictionary of Economics

Living Edition
| Editors: Palgrave Macmillan

Shrinkage-Biased Estimation in Econometrics

  • George G. Judge
Living reference work entry
DOI: https://doi.org/10.1057/978-1-349-95121-5_1923-1

Abstract

The maximum likelihood estimation principle, unbiasedness and hypothesis testing serve as foundation stones for much that goes on in the lives of theoretical and applied econometricians. In this context, the purpose of these words and other symbols is to review the statistical implications of pursuing these estimation and inference goals and to suggest superior alternatives.

Keywords

Estimation Gauss–Markov theorem Inference James and Stein estimator Least squares Linear models Maximum likelihood estimator Maximum likelihood Multivariate estimation Pretest estimation Semiparametric estimation Shrinkage-biased estimation in econometrics Stein rule estimator Testing in econometrics 

JEL Classifications

C10 C2 
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Bibliography

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Copyright information

© The Author(s) 2008

Authors and Affiliations

  • George G. Judge
    • 1
  1. 1.