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The combined estimator approach to model transferability and updating

The combined estimator approach to model transferability and updating The idea of transferability is to employ in model estimation, fitted model parameters computed from a different data set. Thecombined estimator approach to the transferability problem is expressed as a linear combination of the unbiased direct estimators on the two data sets. The major gain is in variance reduction. The combined estimator is shown to have superior accuracy, in a Mean Square Error sense, to a unbiased direct estimator whenever the transfer bias is relatively small. A test that indicates if the combined estimator is superior to the direct estimator is provided. Variances of the direct estimators are assumed to be known. Monte Carlo experiments are performed to assess the quality of the approximations. The results show that the approximations used are highly conservative. An empirical example of the combined estimator applied to a discrete choice problem is presented. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Empirical Economics Springer Journals

The combined estimator approach to model transferability and updating

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References (4)

Publisher
Springer Journals
Copyright
Copyright © 1995 by Physica-Verlag
Subject
Economics; Econometrics; Statistics for Business, Management, Economics, Finance, Insurance; Economic Theory/Quantitative Economics/Mathematical Methods
ISSN
0377-7332
eISSN
1435-8921
DOI
10.1007/BF01235164
Publisher site
See Article on Publisher Site

Abstract

The idea of transferability is to employ in model estimation, fitted model parameters computed from a different data set. Thecombined estimator approach to the transferability problem is expressed as a linear combination of the unbiased direct estimators on the two data sets. The major gain is in variance reduction. The combined estimator is shown to have superior accuracy, in a Mean Square Error sense, to a unbiased direct estimator whenever the transfer bias is relatively small. A test that indicates if the combined estimator is superior to the direct estimator is provided. Variances of the direct estimators are assumed to be known. Monte Carlo experiments are performed to assess the quality of the approximations. The results show that the approximations used are highly conservative. An empirical example of the combined estimator applied to a discrete choice problem is presented.

Journal

Empirical EconomicsSpringer Journals

Published: Feb 12, 2005

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