Multicollinearity and maximum entropy leuven estimator
Multicollinearity 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.
Volume (Year): 3 (2004)
Issue (Month): 25 ()
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References listed on IDEAS
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- 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 Archive 1488, Iowa State University, Department of Economics.