Summary
We illustrate the application of various quasi minimax estimators in a linear regression model in which money demand in Germany is related to real GNP, inflation- and nominal interest rate. Initial interval constraints on the coefficients are transformed into ellipsoidal restrictions. The resulting quasi minimax estimators are shown to outperform ordinary least squares according to a minimax risk criterion.
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© 1998 Physica-Verlag Heidelberg
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Mittag, HJ., Stemann, D., Schipp, B. (1998). Quasi-Minimax Estimation, Prior Information and Money Demand in Germany. In: Galata, R., Küchenhoff, H. (eds) Econometrics in Theory and Practice. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-47027-1_19
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DOI: https://doi.org/10.1007/978-3-642-47027-1_19
Publisher Name: Physica-Verlag HD
Print ISBN: 978-3-642-47029-5
Online ISBN: 978-3-642-47027-1
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