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Title:Difference based ridge and Liu type estimators in semiparametric regression models PDF Logo
Authors:Duran, Esra Akdeniz
Härdle, Wolfgang Karl
Osipenko, Maria
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-014
Abstract:We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y = Xb + f + e. Both estimators are analysed and compared in the sense of mean-squared error. We consider the case of independent errors with equal variance and give conditions under which the proposed estimators are superior to the unbiased difference based estimation technique. We extend the results to account for heteroscedasticity and autocovariance in the error terms. Finally, we illustrate the performance of these estimators with an application to the determinants of electricity consumption in Germany.
Subjects:difference based estimator
differencing estimator
differencing matrix
Liu estimator
Liu type estimator
multicollinearity
ridge regression estimator
semiparametric model
JEL:C14
C51
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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