Optimal Shrinkage Estimation of Fixed Effects in Linear Panel Data Models

IF 6.2 1区经济学 Q1 ECONOMICS

Econometrica Pub Date : 2026-04-01 DOI:10.3982/ECTA22386

Soonwoo Kwon

引用次数: 0

Abstract

Shrinkage methods are frequently used to improve the precision of least squares estimators of fixed effects. However, widely used shrinkage estimators guarantee improved precision only under strong distributional assumptions. I develop an estimator for the fixed effects that obtains the best possible mean squared error within a class of shrinkage estimators. This class includes conventional shrinkage estimators and the optimality does not require distributional assumptions. The estimator has an intuitive form and is easy to implement. Moreover, the fixed effects are allowed to vary with time and to be serially correlated, in which case the shrinkage optimally incorporates the underlying correlation structure. I also provide a method to forecast fixed effects one period ahead in this setting.

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线性面板数据模型中固定效应的最佳收缩估计

收缩法经常用于提高固定效应最小二乘估计的精度。然而，广泛使用的收缩估计只有在强分布假设下才能保证精度的提高。我开发了一个固定效应的估计器，它可以在一类收缩估计器中获得最佳的均方误差。这类包括传统的收缩估计器和最优性不需要分布假设。该估计器具有直观的形式，易于实现。此外，允许固定效应随时间变化并串行相关，在这种情况下，收缩最佳地结合了潜在的相关结构。我还提供了一种方法来预测固定效应提前一段时间在这个设置。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Econometrica 社会科学-数学跨学科应用

CiteScore

11.00

自引率

3.30%

发文量

审稿时长

6-12 weeks

期刊介绍： Econometrica publishes original articles in all branches of economics - theoretical and empirical, abstract and applied, providing wide-ranging coverage across the subject area. It promotes studies that aim at the unification of the theoretical-quantitative and the empirical-quantitative approach to economic problems and that are penetrated by constructive and rigorous thinking. It explores a unique range of topics each year - from the frontier of theoretical developments in many new and important areas, to research on current and applied economic problems, to methodologically innovative, theoretical and applied studies in econometrics. Econometrica maintains a long tradition that submitted articles are refereed carefully and that detailed and thoughtful referee reports are provided to the author as an aid to scientific research, thus ensuring the high calibre of papers found in Econometrica. An international board of editors, together with the referees it has selected, has succeeded in substantially reducing editorial turnaround time, thereby encouraging submissions of the highest quality. We strongly encourage recent Ph. D. graduates to submit their work to Econometrica. Our policy is to take into account the fact that recent graduates are less experienced in the process of writing and submitting papers.