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State space modeling of multiple time series: a comment |
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| Authors: | Stefan Mittnik |
| Institution: | State University of New York , Stony Brook |
| Abstract: | This paper provides guidance in choosing k1 andk2 of the double k-class (KK) estimator such that it will improve upon both the ordinary least squares (OLS) and Stein-rule (SR) estimators in predictive mean squared error (PMSE). Asymptotic bias and mean squared error (MSE) results are derived for nonnormal and other cases. A simulation compares the KK estimator with the OLS and SR estimators. |
| Keywords: | Mean Squared Error Stein-Rule Prediction Bias Nonnormality Simulation Exponential Distribution Cauchy Distribution Multicollinearity |