Difference based Ridge and Liu type Estimators in Semiparametric Regression Models
AbstractWe consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xβ + f + ε. 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.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-014.
Length: 25 pages
Date of creation: Mar 2011
Date of revision:
Difference based estimator; Differencing estimator; Differencing matrix; Liu estimator; Liu type estimator; Multicollinearity; Ridge regression estimator; Semiparametric model;
Other versions of this item:
- Akdeniz Duran, Esra & Härdle, Wolfgang Karl & Osipenko, Maria, 2012. "Difference based ridge and Liu type estimators in semiparametric regression models," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 164-175.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-12 (All new papers)
- NEP-ECM-2011-03-12 (Econometrics)
- NEP-ENE-2011-03-12 (Energy Economics)
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