| Article ID: | iaor19921234 |
| Country: | Netherlands |
| Volume: | 5 |
| Start Page Number: | 491 |
| End Page Number: | 500 |
| Publication Date: | Jan 1989 |
| Journal: | International Journal of Forecasting |
| Authors: | Landsman Wayne R., Damodaran Aswath |
| Keywords: | forecasting: applications |
This study provides evidence which suggests that the use of the James-Stein shrinkage estimator of parameters from multiple ARIMA models of quarterly earnings per share results in forecasts of earnings with lower mean square percentage forecast error (MSPFE) than can be obtained using the unconditional least square estimator. Moreover, this reduction in MSPFE is available at low marginal computational cost.