Title : ( Performance analysis of the preliminary test estimator with series of stochastic restrictions )
Authors: mohammadhossein karbalaee , Mohammad Arashi , Mohammad Mehdi Tabatabaey Mashhadi ,
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Abstract
In this paper, the problem of estimation of the regression coefficients in a multiple regression model is considered under the multicollinearity situation when there are series of stochastic linear restrictions available on the regression parameter vector. We have considered the preliminary test ridge regression estimators (PTRREs) based on the Wald, likelihood ratio, and lagrangian multiplier tests. Tables for the maximum and minimum guaranteed efficiency of the PTRREs are obtained, which allow us to determine the optimum choice of the level of significance corresponding to the optimum estimator. Some numerical results support the findings.
Keywords
, Efficiency, linear model, preliminary test estimator, ridge regression, stochastic restrictions.
@article{paperid:1081566,
author = {Karbalaee, Mohammadhossein and Arashi, Mohammad and Tabatabaey Mashhadi, Mohammad Mehdi},
title = {Performance analysis of the preliminary test estimator with series of stochastic restrictions},
journal = {Communications in Statistics - Theory and Methods},
year = {2018},
volume = {47},
number = {1},
month = {January},
issn = {0361-0926},
pages = {1--17},
numpages = {16},
keywords = {Efficiency; linear model; preliminary test estimator; ridge regression; stochastic restrictions.},
}
%0 Journal Article
%T Performance analysis of the preliminary test estimator with series of stochastic restrictions
%A Karbalaee, Mohammadhossein
%A Arashi, Mohammad
%A Tabatabaey Mashhadi, Mohammad Mehdi
%J Communications in Statistics - Theory and Methods
%@ 0361-0926
%D 2018
