Feasible Generalized Stein-Rule Restricted Ridge Regression Estimators


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ÖZBAY N., DAWOUD I., KAÇIRANLAR S.

JOURNAL OF APPLIED MATHEMATICS STATISTICS AND INFORMATICS, cilt.13, sa.1, ss.77-97, 2017 (ESCI) identifier

Özet

Several versions of the Stein-rule estimators of the coefficient vector in a linear regression model are proposed in the literature. In the present paper, we propose new feasible generalized Stein-rule restricted ridge regression estimators to examine multicollinearity and autocorrelation problems simultaneously for the general linear regression model, when certain additional exact restrictions are placed on these coefficients. Moreover, a Monte Carlo simulation experiment is performed to investigate the performance of the proposed estimator over the others.