Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055323 | Economic Modelling | 2012 | 6 Pages |
Abstract
⺠Multicollinearity leads to low precision of estimated parameters of regression models. ⺠Using Monte Carlo simulations this is shown to hold for the logit model. ⺠A Liu estimator is proposed to reduce the variance. ⺠Some methods of estimating the shrinkage parameter is suggested. ⺠The simulated results shows that the Liu estimator reduces the variance.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kristofer MÃ¥nsson, B.M. Golam Kibria, Ghazi Shukur,