Article ID Journal Published Year Pages File Type
5055323 Economic Modelling 2012 6 Pages PDF
Abstract
► Multicollinearity leads to low precision of estimated parameters of regression models. ► Using Monte Carlo simulations this is shown to hold for the logit model. ► A Liu estimator is proposed to reduce the variance. ► Some methods of estimating the shrinkage parameter is suggested. ► 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
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