Multicollinearity and maximum entropy leuven estimator
AbstractMulticollinearity is a serious problem in applied regression analysis. Q. Paris (2001) introduced the MEL estimator to resolve the multicollinearity problem. This paper improves the MEL estimator to the Modular MEL (MMEL) estimator and shows by Monte Carlo experiments that MMEL estimator performs significantly better than OLS as well as MEL estimators.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2004)
Issue (Month): 25 ()
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Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Quirino Paris, 2001. "Multicollinearity and maximum entropy estimators," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
- Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
- Mishra, SK, 2004. "Estimation under Multicollinearity: Application of Restricted Liu and Maximum Entropy Estimators to the Portland Cement Dataset," MPRA Paper 1809, University Library of Munich, Germany.
- Mishra, SK, 2012. "A comparative study of trends in globalization using different synthetic indicators," MPRA Paper 38028, University Library of Munich, Germany.
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