Comparison of the r- (k, d) class estimator with some estimators for multicollinearity under the Mahalanobis loss function

Shalini Chandra; Nityananda Sarkar

doi:https://doi.org/10.33818/ier.278037

Makale detayları

Comparison of the r- (k, d) class estimator with some estimators for multicollinearity under the Mahalanobis loss function

Yazarlar:

Shalini Chandra | Nityananda Sarkar

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2015 Vol.7 Issue 1, pp.1-12

Belge Tipi:

Makale

Yayın Tarihi:

3/2015

Belge Dili:

Türkçe

Document ID (Org No.):

2000717677

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278037

Özet:

 

In the case of ill-conditioned design matrix in linear regression model, the r - (k, d) class estimator was proposed, including the ordinary least squares (OLS) estimator, the principal   component regression (PCR) estimator, and the two-parameter class estimator. In this paper, we opted to evaluate the performance of the r - (k, d) class estimator in comparison to    others under the weighted quadratic loss function where the weights are inverse of the variance-covariance matrix of the estimator, also known as the Mahalanobis loss function using    the criterion of average loss. Tests verifying the conditions for superiority of the r - (k, d) class estimator have also been proposed. Finally, a simulation study and also an     empirical illustration have been done to study the performance of the tests and hence verify the conditions of dominance of the r - (k, d) class estimator over the others under the     Mahalanobis loss function in artificially generated data sets and as well as for a real data. To the best of our knowledge, this study provides stronger evidence of superiority of     the r - (k, d) class estimator over the other competing estimators through tests for verifying the conditions of dominance, available in literature on multicollinearity.

Makale detayları

Comparison of the r- (k, d) class estimator with some estimators for multicollinearity under the Mahalanobis loss function

Yazarlar: Shalini Chandra | Nityananda Sarkar

Yayıncı: Econometric Research Association

Ana Başlıklar: Sosyoloji & antropoloji | Yönetim

Dergi: International Econometric Review 2015 Vol.7 Issue 1, pp.1-12

Belge Tipi: Makale

Yayın Tarihi: 3/2015

Belge Dili: Türkçe

Document ID (Org No.): 2000717677

Sıklık: Üç Aylık

eISSN: 1308-8815

pISSN: 1308-8793

DOI: https://doi.org/10.33818/ier.278037

Sayı

Yazarlar:

Shalini Chandra | Nityananda Sarkar

Yayıncı:

Econometric Research Association

Ana Başlıklar:

Sosyoloji & antropoloji | Yönetim

Dergi:

International Econometric Review 2015 Vol.7 Issue 1, pp.1-12

Belge Tipi:

Makale

Yayın Tarihi:

3/2015

Belge Dili:

Türkçe

Document ID (Org No.):

2000717677

Sıklık:

Üç Aylık

eISSN:

1308-8815

pISSN:

1308-8793

DOI:

https://doi.org/10.33818/ier.278037