Comparisons among some estimators in misspecified linear models with multicollinearity
We deal with comparisons among several estimators available in situations of multicollinearity [e.g., the r-k class estimator proposed by \textit{M. R. Baye} and \textit{D. F. Parker}, Commun. Stat., Theory Methods 13, No.2, 197-205 (1984), the ordinary ridge regression estimator, the principal component regression estimator and also the ordinary least squares estimator] for a misspecified linear model where misspecification is due to omission of some relevant explanatory variables. These comparisons are made in terms of the mean square error (mse) of the estimators of regression coefficients as well as of the predictor of the conditional mean of the dependent variable.
principal component regression estimator
predictor of the conditional mean of the dependent variable
scientific article; zbMATH DE number 4189027