Sensitivity of the restricted least squares estimator under misspecified restrictions and multicollinearity

MaRDI QIDQ3399102zbMATH OpenFDO

Authors Ingrid Kreuzmair, Helge Toutenburg

Publication date 29 September 2009

Full work available at URL http://pphmj.com/abstract/3082.htm

zbMATH Keywords

simulationmisspecificationmulticollinearitylinear restrictionsrestricted regression estimatormean squared error matrix superiority

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20)

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Cited in

(3)

• On the sensitivity of the restricted least squares estimators to covariance misspecification
• A note on least squares sensitivity in single-index model estimation and the benefits of response transformations
• Comparisons among some estimators in misspecified linear models with multicollinearity

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