Article ID Journal Published Year Pages File Type
5055499 Economic Modelling 2012 7 Pages PDF
Abstract
►Multicollinearity leads to high variance of estimated parameters of regression models. ►Using Monte Carlo simulations this is shown to hold for the negative binomial model. ►A ridge regression estimator is proposed to reduce the variance. ►Some methods of estimating the ridge parameter are suggested. ►The simulated results show that the ridge regression estimator reduces the variance.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Authors
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