Principal components regression estimator and a test for the restrictions

Ozkale M. R.

STATISTICS, cilt.43, sa.6, ss.541-551, 2009 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 43 Sayı: 6
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1080/02331880802605460
  • Dergi Adı: STATISTICS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.541-551
  • Anahtar Kelimeler: multicollinearity, principal components regression estimator, hypothesis testing, doubly non-central F distribution, MEAN-SQUARE ERROR
  • Çukurova Üniversitesi Adresli: Evet

Özet

In this article, we introduce restricted principal components regression (RPCR) estimator by combining the approaches followed in obtaining the restricted least squares estimator and the principal components regression estimator. The performance of the RPCR estimator with respect to the matrix and the generalized mean square error are examined. We also suggest a testing procedure for linear restrictions in principal components regression by using singly and doubly non-central F distribution.