Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach

DOI10.1016/S0165-1765(99)00019-1zbMath0917.90060MaRDI QIDQ1285729

Ju-Chin Huang

Publication date: 28 April 1999

Published in: Economics Letters (Search for Journal in Brave)

zbMATH Keywords

multicollinearity; estimation precision; adaptive ridge estimator

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

91B82: Statistical methods; economic indices and measures

Related Items

MSE performance and minimax regret significance points for a HPT estimator under a multivariate t error distribution, Small sample properties of a ridge regression estimator when there exist omitted variables, Finite sample properties of an HPT estimator when each individual regression coefficient is estimated in a misspecified linear regression model, MSE Performance and Minimax Regret Significance Points for a HPT Estimator when each Individual Regression Coefficient is Estimated, The Exact General Formulas for the Moments of a Ridge Regression Estimator when the Regression Error Terms Follow a MultivariatetDistribution, MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator, Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated

Cites Work

• Exact moments of lawless and wang's operational ridge regression estimator
• Finite Sample Properties of Ridge Estimators
• Regression analysis and problems of multicollinearity
• Distribution and density functions of the feasible generalized ridge regression estimator
• Confidence intervals in ridge regression by bootstrapping the dependent variable: a simulation study