Duran, Esra Akdeniz Härdle, Wolfgang Karl Osipenko, Maria
Year of Publication:
SFB 649 discussion paper 2011-014
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.
difference based estimator differencing estimator differencing matrix Liu estimator Liu type estimator multicollinearity ridge regression estimator semiparametric model