Multicollinearity and the Mean Square Error of Alternative Estimators

DOI10.2307/1913493MaRDI QIDQ4403596zbMATH OpenOpenAlexFDO

Authors Martin Feldstein

Publication date 1973

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913493

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Cited in

(6)

• Assessing influence on the Liu estimates in linear regression models
• Asymptotic risk comparisions of restricted and unrestricted maximum likelihood estimators
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• Weighted estimators in regression with multicollinearity
• Optimal critical regions for pre-test estimators using a Bayes risk criterion
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors

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