Individual Shrinkage for Random Effects
随机效应的个体化收缩估计
This paper develops an approach to random effects estimation and individual-level forecasting in micropanels that targets individual accuracy rather than aggregate performance. The conventional shrinkage methods used in the literature, such as the James-Stein estimator and Empirical Bayes, target aggregate performance and can lead to inaccurate decisions at the individual level. We propose a class of shrinkage estimators with individual weights (IW) that leverage an…