Point Estimation and Confidence Set in a Parallelism Model: an Empirical Bayes Approach

Christian P. Robert and A. K. Md. Ehsanes Saleh

Annals of Economics and Statistics, 1991, issue 23, 65-89

Abstract: When several simple regression models are assumed to have similar slopes, empirical Bayes methods can efficiently process tis vague information by estimating the hyperparameters of a conjugate prior. The shrinkage estimators we obtain are shown to be minimax and, furthermore, dominate usual confidence regions in terms of coverage probability.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1991:i:23:p:65-89

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