On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors

DOI10.1016/0304-4076(84)90045-9zbMATH Open0559.62054OpenAlexW1997227184MaRDI QIDQ2266321FDOQ2266321

Authors: Götz Trenkler 

Publication date: 1984

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(84)90045-9

Recommendations

• Monte Carlo simulation study of biased estimators in the linear regression models with correlated or heteroscedastic errors
• scientific article; zbMATH DE number 2147383
• A new stochastic restricted biased estimator under heteroscedastic or correlated error
• Research on the biased estimators of coefficients in linear regression models
• scientific article; zbMATH DE number 3940489

zbMATH Keywords

shrinkage estimatorsordinary least squares estimatorcorrelated errorsgeneralized least squares estimatorheteroscedastic errorsbiased estimatorsmean square error criteria

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Cites Work

• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Biased Estimation in Linear Models
• Title not available (Why is that?)
• Ridge Analysis Following a Preliminary Test of the Shrunken Hypothesis
• Superiority comparisons of homogeneous linear estimators
• Error misspecification and properties of the simple ridge estimator
• Quadratic Forms and Idempotent Matrices with Random Elements
• Title not available (Why is that?)
• A Note on Superiority Comparisons of Homogeneous Linear Estimators
• Title not available (Why is that?)
• Ridge estimation in regression problems with autocorrelated errors: A monte carlo study
• A test of the mean square error criterion for shrinkage estimators
• Comparisons among regression estimators under the generalized mean square error criterion
• Title not available (Why is that?)

Cited In (38)

• A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors
• A Comparison of Mixed and Ridge Estimators of Linear Models
• On a principal component two-parameter estimator in linear model with autocorrelated errors
• Efficiency of a generalized difference-based weighted mixed ridge estimator in partially linear model
• A restricted \(r\)-\(k\) class estimator in the mixed regression model with autocorrelated disturbances
• A note on the performance of biased estimators with autocorrelated errors
• New heteroscedasticity-adjusted ridge estimators in linear regression model
• A Further Study of Predictions in Linear Mixed Models
• A stochastic restricted ridge regression estimator
• Feasible generalized Stein-rule restricted ridge regression estimators
• General ridge predictors in a mixed linear model
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• \(r\)-\(k\) class estimator in the linear regression model with correlated errors
• Ridge estimator with correlated errors and two-stage ridge estimator under inequality restrictions
• Influence measures in ridge regression when the error terms follow an AR(1) process
• Influence measures based on confidence ellipsoids in general linear regression model with correlated regressors
• PMSE PERFORMANCE OF THE BIASED ESTIMATORS IN A LINEAR REGRESSION MODEL WHEN RELEVANT REGRESSORS ARE OMITTED
• Mean square error matrix comparisons of estimators in linear regression
• Regression diagnostics methods for Liu estimator under the general linear regression model
• Mixed Lasso estimator for stochastic restricted regression models
• Properties of the coefficient estimators for the linear regression model with heteroskedastic error term
• A generalized difference-based mixed two-parameter estimator in partially linear model
• On a biased prediction based on optimal mean square error criterion
• Ridge regression estimators in the linear regression models with non-spherical errors
• Monte Carlo simulation study of biased estimators in the linear regression models with correlated or heteroscedastic errors
• Simultaneous prediction using target function based on principal components estimator with correlated errors
• Efficiency of the generalized restricted difference-based almost unbiased ridge estimator in partially linear model
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• Cross validation of ridge regression estimator in autocorrelated linear regression models
• Ridge estimation in linear models with heteroskedastic errors
• Corrigendum: On the asymptotic bias and mean squared error of an improved estimator for coefficients in linear regression
• The feasible generalized restricted ridge regression estimator
• On the Performance of the Jackknifed Modified Ridge Estimator in the Linear Regression Model with Correlated or Heteroscedastic Errors
• A class of \(s\)-\(K\) type principal components estimators in the linear model
• A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors
• Comparisons among three estimation methods in linear models when observations are pairwise correlated
• Title not available (Why is that?)
• Improvement of generalized difference-based mixed Liu estimator in partially linear model

This page was built for publication: On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2266321)