Some Further Results on the Use of Proxy Variables in Prediction

Peter Stahlecker and Gotz Trenkler

The Review of Economics and Statistics, 1993, vol. 75, issue 4, 707-11

Abstract: In econometric analysis, occasionally some of the regressors are not available. In this paper, the authors study the implications of two strategies: either cancel these regressors from the model or use proxy variables instead. It is analyzed which of both strategies leads to an improvement in conditional prediction of the systematic part in terms of the mean square error criterion. Furthermore, some characterizations for admissibility are given. Copyright 1993 by MIT Press.

Date: 1993
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://links.jstor.org/sici?sici=0034-6535%2819931 ... CO%3B2-%23&origin=bc full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:75:y:1993:i:4:p:707-11

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().