"Random Effects and Restriction of Parameters: A Review"(in Japanese)

Tatsuya Kubokawa
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Tatsuya Kubokawa: Faculty of Economics, University of Tokyo

No CIRJE-J-18, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: Random effects and restriction of parameters are important concepts in constructing statistical models based on small samples: Restricting the parameter spaces to subspaces constrained by inequalities or equalities yields pooling the data to get stablized estimators, and incorporating the random effects into the models produces shrinkage procedures more accurate than usual crude estimators. This paper gives a review on the random effects and the restriction of parameters and demonstrates the importance of these two concepts in an example of small area estimation. It is also explained that the shrinkage estimators have interesting relation with the factor analysis, the Kalman filter and the Spline smoothing method.

Pages: 47 pages
Date: 1999-10
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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:99cj18

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