Ridge estimator with correlated errors and two-stage ridge estimator under inequality restrictions

Selma Toker and Selahattin Kaçıranlar

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 3, 1407-1421

Abstract: Liew (1976a) introduced generalized inequality constrained least squares (GICLS) estimator and inequality constrained two-stage and three-stage least squares estimators by reducing primal–dual relation to problem of Dantzig and Cottle (1967), Cottle and Dantzig (1974) and solving with Lemke (1962) algorithm. The purpose of this article is to present inequality constrained ridge regression (ICRR) estimator with correlated errors and inequality constrained two-stage and three-stage ridge regression estimators in the presence of multicollinearity. Untruncated variance–covariance matrix and mean square error are derived for the ICRR estimator with correlated errors, and its superiority over the GICLS estimator is examined via Monte Carlo simulation.

Date: 2017
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DOI: 10.1080/03610926.2015.1019145

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