Difference based ridge and Liu type estimators in semiparametric regression models

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Duran E. A., Haerdle W. K., Osipenko M.

JOURNAL OF MULTIVARIATE ANALYSIS, cilt.105, sa.1, ss.164-175, 2012 (SCI-Expanded, Scopus) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 105 Sayı: 1
  • Basım Tarihi: 2012
  • Doi Numarası: 10.1016/j.jmva.2011.08.018
  • Dergi Adı: JOURNAL OF MULTIVARIATE ANALYSIS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.164-175
  • Anahtar Kelimeler: Difference based estimator, Differencing estimator, Differencing matrix, Liu estimator, Liu type estimator, Multicollinearity, Ridge regression estimator, Semiparametric model
  • Açık Arşiv Koleksiyonu: AVESİS Açık Erişim Koleksiyonu
  • Gazi Üniversitesi Adresli: Evet

Özet

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = X beta + f + epsilon . Both estimators are analyzed and compared in the sense of mean-squared error. We consider the case of independent errors with equal variance and give conditions under which the proposed estimators are superior to the unbiased difference based estimation technique. We extend the results to account for heteroscedasticity and autocovariance in the error terms. Finally, we illustrate the performance of these estimators with an application to the determinants of electricity consumption in Germany. (C) 2011 Elsevier Inc. All rights reserved.