r − k Class estimator in the linear regression model with correlated errors

Gülesen Üstündagˇ Şiray (), Selahattin Kaçıranlar and Sadullah Sakallıoğlu

Statistical Papers, 2014, vol. 55, issue 2, 393-407

Abstract: Autocorrelation in errors and multicollinearity among the regressors are serious problems in regression analysis. The aim of this paper is to examine multicollinearity and autocorrelation problems concurrently and to compare the r − k class estimator to the generalized least squares estimator, the principal components regression estimator and the ridge regression estimator by the scalar and matrix mean square error criteria in the linear regression model with correlated errors. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Autocorrelation; Multicollinearity; r − k Class estimator; Ridge regression estimator; Mean square error matrix (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00362-012-0484-8

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