Regression coefficients estimated using shrinkage estimators are biased. Why might these biased estimators yield more accurate predictions

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Regression coefficients estimated using shrinkage estimators are biased. Why might these biased estimators yield more accurate predictions than an unbiased estimator?

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Introduction To Econometrics

ISBN: 9780134461991

4th Edition

Authors: James Stock, Mark Watson

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Question Posted: May 02, 2024 03:52 AM

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Regression coefficients estimated using shrinkage estimators are biased. Why might these biased estimators yield more accurate predictions

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Shrinkage estimators like Ridge Regression or Lasso Regression introduce bias to regression coefficients to improve prediction accuracy This seemingly ...View the full answer

Introduction To Econometrics

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