Principal components regression estimator and a test for the restrictions


Ozkale M. R.

STATISTICS, vol.43, no.6, pp.541-551, 2009 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 43 Issue: 6
  • Publication Date: 2009
  • Doi Number: 10.1080/02331880802605460
  • Title of Journal : STATISTICS
  • Page Numbers: pp.541-551
  • Keywords: multicollinearity, principal components regression estimator, hypothesis testing, doubly non-central F distribution, MEAN-SQUARE ERROR

Abstract

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.