Modified Ridge Parameters for Seemingly Unrelated Regression Model

Zangin Zeebari, Ghazi Shukur () and B. M. Golam Kibria
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Zangin Zeebari: Departments of Economics and Statistics, Postal: Linnaeus University, 351 95 Växjö, Sweden
Ghazi Shukur: Departments of Economics and Statistics, Postal: Linnaeus University, 351 95 Växjö, Sweden, and, Departments of Economics and Statistics, Jönköping University, Box 1026, , 551 11 Jönköping, Sweden
B. M. Golam Kibria: Florida International University, Postal: Department of Mathematics and Statistics, 11200 S.W. 8th Street , Miami, Florida 33199, USA

No 43, HUI Working Papers from HUI Research

Abstract: In this paper, we modify a number of new biased estimators of seemingly unrelated regression (SUR) parameters which are developed by Alkhamisi and Shukur (2008), AS, when the explanatory variables are affected by multicollinearity. Nine ridge parameters have been modified and compared in terms of the trace mean squared error (TMSE) and (PR) criterion. The results from this extended study are the also compared with those founded by AS. A simulation study has been conducted to compare the performance of the modified ridge parameters. The results showed that under certain conditions the performance of the multivariate ridge regression estimators based on SUR ridge RMSmax is superior to other estimators in terms of TMSE and PR criterion. In large samples and when the collinearity between the explanatory variables is not high the unbiased SUR, estimator produces a smaller TMSEs.

Keywords: Multicollinearity; modified SUR ridge regression; Monte Carlo simulations; TMSE (search for similar items in EconPapers)
JEL-codes: C30 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2010-10-01
New Economics Papers: this item is included in nep-ecm
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