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

DOI10.1016/0304-4076(84)90045-9zbMath0559.62054MaRDI QIDQ2266321

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

zbMATH Keywords

shrinkage estimators; correlated errors; ordinary least squares estimator; generalized least squares estimator; heteroscedastic errors; biased estimators; mean square error criteria

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H12: Estimation in multivariate analysis

62J05: Linear regression; mixed models

Related Items

Ridge regression estimators in the linear regression models with non-spherical errors, A Further Study of Predictions in Linear Mixed Models, General ridge predictors in a mixed linear model, Performance of Kibria's Method for the Heteroscedastic Ridge Regression Model: Some Monte Carlo Evidence, Monte Carlo Simulation Study of Biased Estimators in the Linear Regression Models with Correlated or Heteroscedastic Errors, A restricted \(r\)-\(k\) class estimator in the mixed regression model with autocorrelated disturbances, Influence measures in ridge regression when the error terms follow an AR(1) process, Ridge estimation in linear models with heteroskedastic errors, \(r\)-\(k\) class estimator in the linear regression model with correlated errors, A jackknifed ridge estimator in the linear regression model with heteroscedastic or correlated errors, A stochastic restricted ridge regression estimator, On a principal component two-parameter estimator in linear model with autocorrelated errors, A Class of s–K Type Principal Components Estimators in the Linear Model, Using Heteroscedasticity-Consistent Standard Errors for the Linear Regression Model with Correlated Regressors, On the Performance of the Jackknifed Modified Ridge Estimator in the Linear Regression Model with Correlated or Heteroscedastic Errors, A Simulation Study of Ridge Regression Estimators with Autocorrelated Errors, A Comparison of Mixed and Ridge Estimators of Linear Models, Mean square error matrix comparisons of estimators in linear regression, Comparisons among three estimation methods in linear models when observations are pairwise correlated

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A test of the mean square error criterion for shrinkage estimators
• Comparisons among regression estimators under the generalized mean square error criterion
• A Note on Superiority Comparisons of Homogeneous Linear Estimators
• Ridge estimation in regression problems with autocorrelated errors: A monte carlo study
• 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
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• On Biased Estimation in Linear Models