Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146255 | Journal of Multivariate Analysis | 2012 | 12 Pages |
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=Xβ+f+εy=Xβ+f+ε. Both estimators are analyzed 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Esra Akdeniz Duran, Wolfgang Karl Härdle, Maria Osipenko,