Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56655 
Year of Publication: 
2011
Series/Report no.: 
SFB 649 Discussion Paper No. 2011-014
Publisher: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
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

Files in This Item:
File
Size
619.24 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.