Ridge estimation in linear models with heteroskedastic errors

DOI10.1007/S13571-012-0046-ZMaRDI QIDQ356502zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Asymptotic inference under heteroskedasticity of unknown form
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• Estimating Heteroscedastic Variances in Linear Models
• Jackknifing in Unbalanced Situations
• Linear regression.
• On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors
• Ridge Analysis Following a Preliminary Test of the Shrunken Hypothesis
• Ridge Estimation in Linear Models with Autocorrelated Errors
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Simulation study of new estimators combining the SUR ridge regression and the restricted least squares methodologies
• Superiority comparisons of homogeneous linear estimators
• The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
• Using Liu-Type Estimator to Combat Collinearity

Cited in

(13)

• VIF-based adaptive matrix perturbation method for heteroskedasticity-robust covariance estimators in the presence of multicollinearity
• Model averaging estimator in ridge regression and its large sample properties
• On the Performance of the Jackknifed Modified Ridge Estimator in the Linear Regression Model with Correlated or Heteroscedastic Errors
• Ridge Estimation in Linear Models with Autocorrelated Errors
• scientific article; zbMATH DE number 1216596 (Why is no real title available?)
• Performance of Kibria's method for the heteroscedastic ridge regression model: some Monte Carlo evidence
• New heteroscedasticity-adjusted ridge estimators in linear regression model
• On tests for normality of experimental error in ridge regression
• Ridge regression estimators in the linear regression models with non-spherical errors
• Multicolinearity and ridge regression: results on type I errors, power and heteroscedasticity
• Using heteroscedasticity-consistent standard errors for the linear regression model with correlated regressors
• Ridge estimation in semiparametric linear measurement error models
• Recent results in ridge regression methods

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