The use
of biased estimation techniques is inevitable in connection with
multicollinearity. Two stage ridge estimator is a pioneer biased estimator
which is use to recover the problems that are originated from the
multicollinearity. The noteworthy issue regarding two stage ridge estimator is
selection of its biasing parameter. This article investigates several methods
on selection of the biasing parameter of the two stage ridge estimator based on
the works in the literature related to ridge estimator in a linear regression
model. To demonstrate the best estimators of the biasing parameter, a Monte
Carlo experiment is conducted. The utility of the proposed estimators of the
biasing parameter for two stage ridge estimator is observed in terms of mean
square error criterion.
Primary Language | English |
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Subjects | Mathematical Sciences |
Journal Section | Research Articles |
Authors | |
Publication Date | December 1, 2018 |
Submission Date | May 9, 2018 |
Acceptance Date | October 1, 2018 |
Published in Issue | Year 2018 |
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.