Abstract
In the econometric literature a great variety of ‘improved’ estimators have been proposed which are commonly expressible as mixtures of traditional estimators. Minimum risk (MELO) Bayesian estimators, Steinlike and pre-test estimators, mixed regression and Minimum Mean Squared Error (MMSE) are examples of such estimators. See Zellner and Vandaele (1975) and Maasoumi (1978, 1984). Zellner and Vandaele (1975) consider the Bayesian interpretations of such estimators, Sawa (1973) considers a MMSE combination of the OLS and 2SLS structural estimators, and Newbold and Granger (1974) is an example where informal mixtures of predictors have been investigated and observed to perform well.
This chapter is dedicated in honour of my friend and great econometrician Henri (Hans) Theil.
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© 1992 Ronald Bewley and Tran Van Hoa
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Maasoumi, E. (1992). Mixing Forecasts in Linear Simultaneous Equations Under Quadratic Loss. In: Bewley, R., Van Hoa, T. (eds) Contributions to Consumer Demand and Econometrics. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-12221-9_10
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DOI: https://doi.org/10.1007/978-1-349-12221-9_10
Publisher Name: Palgrave Macmillan, London
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