Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimation under Multicollinearity: Application of Restricted Liu and Maximum Entropy Estimators to the Portland Cement Dataset

Contents:

Author Info

  • Mishra, SK

Abstract

A high degree of multicollinearity among the explanatory variables severely impairs estimation of regression coefficients by the Ordinary Least Squares. Several methods have been suggested to ameliorate the deleterious effects of multicollinearity. In this paper we aim at comparing the Restricted Liu estimates of regression coefficients with those obtained by applying the Maximum Entropy Leuven (MEL) family of estimators on the widely analyzed dataset on Portland cement. This dataset has been obtained from an experimental investigation of the heat evolved during the setting and hardening of Portland cements of varied composition and the dependence of this heat on the percentage of four compounds in the clinkers from which the cement was produced. The relevance of the relationship between the heat evolved and the chemical processes undergone while setting takes place is best stated in the words of Woods et al.: "This property is of interest in the construction of massive works as dams, in which the great thickness severely hinder the outflow of the heat. The consequent rise in temperature while the cement is hardening may result in contractions and cracking when the eventual cooling to the surrounding temperature takes place." Two alternative models have been formulated, the one with an intercept term (non-homogenous) that exhibits a very high degree of multicollinearity and the other with no intercept term (extended homogenous) that characterizes perfect multicollinearity. Our findings suggest that several members of the MEL family of estimators outperform the OLS and the Restricted Liu estimators. The MEL estimators perform well even when perfect multicollinearity is there. A few of them may outperform the Minimum Norm LS (OLS+) estimator. Since the MEL estimators do not seek extra information from the analyst, they are easy to apply. Therefore, one may rely on the MEL estimators for obtaining the coefficients of a linear regression model under the conditions of severe (including perfect) multicollinearity among the explanatory variables.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://mpra.ub.uni-muenchen.de/1809/
File Function: original version
Download Restriction: no

Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1809.

as in new window
Length:
Date of creation: 28 Jun 2004
Date of revision:
Handle: RePEc:pra:mprapa:1809

Contact details of provider:
Postal: Schackstr. 4, D-80539 Munich, Germany
Phone: +49-(0)89-2180-2219
Fax: +49-(0)89-2180-3900
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC

Related research

Keywords: Multicollinearity; Estimator; Restricted Liu; Maximum Entropy Leuven estimator; MEL family; Modular Maximum Entropy Leuven estimator; Least Absolute Deviation; Minimum Norm Least Squares; Moore-Penrose inverse; Portland cement dataset;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Golan, Amos & Judge, George G. & Miller, Douglas, 1996. "Maximum Entropy Econometrics," Staff General Research Papers 1488, Iowa State University, Department of Economics.
  2. Sudhanshu Mishra, 2004. "Multicollinearity and maximum entropy leuven estimator," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-11.
  3. Dasgupta, Madhuchhanda & Mishra, SK, 2004. "Least absolute deviation estimation of linear econometric models: A literature review," MPRA Paper 1781, University Library of Munich, Germany.
  4. Quirino Paris, 2001. "Multicollinearity and maximum entropy estimators," Economics Bulletin, AccessEcon, vol. 3(11), pages 1-9.
  5. repec:ebl:ecbull:v:3:y:2004:i:25:p:1-11 is not listed on IDEAS
  6. Paris, Quirino, 2001. "Mele: Maximum Entropy Leuven Estimators," Working Papers 11991, University of California, Davis, Department of Agricultural and Resource Economics.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:1809. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.