Superiority of the r-d class estimator over some estimators by the mean square error matrix criterion

M. Revan Özkale and Selahattin KaçIranlar

Statistics & Probability Letters, 2007, vol. 77, issue 4, 438-446

Abstract: KaçIranlar, and SakallIoglu, [2001. Combining the Liu estimator and the principal component regression estimator. Comm. Statist. Theory Methods 30, 2699-2705] introduced the r-d class estimator which is a general estimator of the ordinary least squares (OLS), the principal components regression (PCR) and the Liu estimators. In this paper, we derive conditions for the superiority of the r-d class estimator over each of these estimators and the r-k class estimator by the matrix mean square error (MMSE) criterion. Also, we suggest tests to verify if these conditions are indeed satisfied.

Keywords: r-d; class; estimator; Ordinary; least; squares; estimator; Principal; components; regression; estimator; Liu; estimator; r-k; class; estimator; Multicollinearity (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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