Econometrica: Jul 1974, Volume 42, Issue 4
Asymptotic Minimum-MSE Prediction in the Cobb-Douglas Model with a Multiplicative Disturbance Term
Dennis J. AignerA nonparametric framework for deriving the asymptotic MSE-optimal predictor for a multiplicative model is presented. The resulting predictor is compared to several known competitors in a limited Monte Carlo experiment.
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