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


Siray G. , KAÇIRANLAR S. , SAKALLIOĞLU S.

STATISTICAL PAPERS, vol.55, no.2, pp.393-407, 2014 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 55 Issue: 2
  • Publication Date: 2014
  • Doi Number: 10.1007/s00362-012-0484-8
  • Title of Journal : STATISTICAL PAPERS
  • Page Numbers: pp.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.