Estimation of Standard Errors of Empirical Bayes Estimators in Capm-Type Models
作者:
K.R. Kadiyala,
Dennis Oberhelman,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1990)
卷期:
Volume 19,
issue 1
页码: 189-206
ISSN:0361-0918
年代: 1990
DOI:10.1080/03610919008812852
出版商: Marcel Dekker, Inc.
关键词: bootstrap;CAPM;empirical power;standard error
数据来源: Taylor
摘要:
This paper is concerned with the problem of estimating the standard errors of the empirical Bayes estimators in linear regression models. The problem of deriving an exact expression for the standard error of this estimator is generally intractable. We suggest a procedure based on Efron’s bootstrap method as a way of estimating the standard error. It is shown, through simulations, that the bootstrap method provides a more accurate estimate of the standard error of the empirical Bayes estimator than the traditional large sample method.
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