Performance of the restricted almost unbiased type principal components estimators in linear regression model

Yalian Li () and Hu Yang
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Yalian Li: Chongqing University
Hu Yang: Chongqing University

Statistical Papers, 2019, vol. 60, issue 1, No 2, 19-34

Abstract: Abstract In this paper, two new classes of estimators called the restricted almost unbiased ridge-type principal components estimator and the restricted almost unbiased Liu-type principal components estimator are introduced. For the two cases when the restrictions are true and not true, necessary and sufficient conditions for the superiority of the proposed estimators are derived and compared, respectively. Finally, A Monte Carlo simulation study is given to illustrate the performance of the proposed estimators.

Keywords: Multicollinearity; Principle components regression; Equality Restrictions; Almost unbiased ridge estimator; Almost unbiased Liu estimator; 62J07; 62J05 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00362-016-0821-4

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