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Difference-based matrix perturbation method for semi-parametric regression with multicollinearity

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  • Chien-Chia L. Huang
  • Yow-Jen Jou
  • Hsun-Jung Cho

Abstract

This paper addresses the collinearity problems in semi-parametric linear models. Under the difference-based settings, we introduce a new diagnostic, the difference-based variance inflation factor (DVIF), for detecting the presence of multicollinearity in semi-parametric models. The DVIF is then used to device a difference-based matrix perturbation method for solving the problem. The electricities distribution data set is analyzed, and numerical evidences validate the effectiveness of the proposed method.

Suggested Citation

  • Chien-Chia L. Huang & Yow-Jen Jou & Hsun-Jung Cho, 2017. "Difference-based matrix perturbation method for semi-parametric regression with multicollinearity," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(12), pages 2161-2171, September.
    • Handle: RePEc:taf:japsta:v:44:y:2017:i:12:p:2161-2171
    DOI: 10.1080/02664763.2016.1247790
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    References listed on IDEAS

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    1. Yow-Jen Jou & Chien-Chia Huang & Hsun-Jung Cho, 2014. "A VIF-based optimization model to alleviate collinearity problems in multiple linear regression," Computational Statistics, Springer, vol. 29(6), pages 1515-1541, December.
    2. Alexis Lazaridis, 2007. "A Note Regarding the Condition Number: The Case of Spurious and Latent Multicollinearity," Quality & Quantity: International Journal of Methodology, Springer, vol. 41(1), pages 123-135, February.
    3. Yatchew, A., 1997. "An elementary estimator of the partial linear model," Economics Letters, Elsevier, vol. 57(2), pages 135-143, December.
    4. A. Yatchew, 2000. "Scale economies in electricity distribution: a semiparametric analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 187-210.
    5. 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.
    6. Yatchew,Adonis, 2003. "Semiparametric Regression for the Applied Econometrician," Cambridge Books, Cambridge University Press, number 9780521812832, January.
    7. Mahdi Roozbeh & Mohammad Arashi, 2016. "Shrinkage ridge regression in partial linear models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(20), pages 6022-6044, October.
    8. repec:hum:journl:v:105:y:2012:i:1:p:164-175 is not listed on IDEAS
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