A New Ridge-Type Estimator for the Linear Regression Model: Simulations and Applications

The ridge regression-type (Hoerl and Kennard, 1970) and Liu-type (Liu, 1993) estimators are consistently attractive shrinkage methods to reduce the effects of multicollinearity for both linear and nonlinear regression models. This paper proposes a new estimator to solve the multicollinearity problem...

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Detalles Bibliográficos
Autores principales: Kibria, B. M. Golam, Lukman, Adewale F.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Hindawi 2020
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7204127/
https://www.ncbi.nlm.nih.gov/pubmed/32399315
http://dx.doi.org/10.1155/2020/9758378
Descripción
Sumario:The ridge regression-type (Hoerl and Kennard, 1970) and Liu-type (Liu, 1993) estimators are consistently attractive shrinkage methods to reduce the effects of multicollinearity for both linear and nonlinear regression models. This paper proposes a new estimator to solve the multicollinearity problem for the linear regression model. Theory and simulation results show that, under some conditions, it performs better than both Liu and ridge regression estimators in the smaller MSE sense. Two real-life (chemical and economic) data are analyzed to illustrate the findings of the paper.

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