Difference based ridge and Liu type estimators in semiparametric regression models

Arbeitspapier

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xb + f + e. Both estimators are analysed and compared in the sense of mean-squared error. We consider the case of independent errors with equal variance and give conditions under which the proposed estimators are superior to the unbiased difference based estimation technique. We extend the results to account for heteroscedasticity and autocovariance in the error terms. Finally, we illustrate the performance of these estimators with an application to the determinants of electricity consumption in Germany.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2011-014

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Model Construction and Estimation
• Thema: difference based estimator ; differencing estimator ; differencing matrix ; Liu estimator ; Liu type estimator ; multicollinearity ; ridge regression estimator ; semiparametric model ; Nichtparametrisches Verfahren ; Regression ; Schätztheorie ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Duran, Esra Akdeniz ; Härdle, Wolfgang Karl ; Osipenko, Maria
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2011

Weitere Informationen

• Handle: http://hdl.handle.net/10419/56655
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ