Ridge estimation in linear models with heteroskedastic errors

DOI10.1007/S13571-012-0046-ZzbMATH Open1281.62156OpenAlexW1985415537MaRDI QIDQ356502FDOQ356502

M. A. Alkhamisi

Publication date: 25 July 2013

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-012-0046-z

zbMATH Keywords

heteroskedasticityMonte Carlo simulationcollinearityridge estimationHMSE criterionHRCCM estimator

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Monte Carlo methods (65C05) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

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• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
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• Asymptotic inference under heteroskedasticity of unknown form
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• Using Liu-Type Estimator to Combat Collinearity
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• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
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• Linear regression.
• Ridge Estimation in Linear Models with Autocorrelated Errors
• Title not available (Why is that?)
• Ridge Analysis Following a Preliminary Test of the Shrunken Hypothesis
• Simulation study of new estimators combining the SUR ridge regression and the restricted least squares methodologies
• Superiority comparisons of homogeneous linear estimators
• Error misspecification and properties of the simple ridge estimator

Cited In (11)

• Title not available (Why is that?)
• Ridge estimation in semiparametric linear measurement error models
• Multicolinearity and ridge regression: results on type I errors, power and heteroscedasticity
• VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity
• Ridge Estimation in Linear Models with Autocorrelated Errors
• New heteroscedasticity-adjusted ridge estimators in linear regression model
• Recent results in ridge regression methods
• Model averaging estimator in ridge regression and its large sample properties
• On tests for normality of experimental error in ridge regression
• Ridge regression estimators in the linear regression models with non-spherical errors
• On the Performance of the Jackknifed Modified Ridge Estimator in the Linear Regression Model with Correlated or Heteroscedastic Errors

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