On preliminary test ridge regression estima tors for linear restrictions in a regression model with non-normal disturbances Article

Golam Kibria, BM. (1996). On preliminary test ridge regression estima tors for linear restrictions in a regression model with non-normal disturbances . COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 25(10), 2349-2369. 10.1080/03610929608831843

cited authors

  • Golam Kibria, BM

authors

abstract

  • In this paper, we study the properties of the preliminary test, restricted and unrestricted ridge regression estimators of the linear regression model with non-normal disturbances. We present the estimators of the regression coefficients combining the idea of preliminary test and ridge regression methodology, when it is suspected that the regression coefficients may be restricted to a subspace and the regression error is distributed as multivariate t. Accordingly we consider three estimators, namely the Unrestricted Ridge Regression Estimator (URRRE), the Restricted Ridge Regression Estimator (RRRE) and finally the Preliminary test Ridge Regression Estimator (PTRRE). The biases and the mean square error (MSE) of the estimators are derived under the null and alternative hypotheses and compared with the usual estimators. By studying the MSE criterion, the regions of optimality of the estimators are determined. Copyright © 1996 by Marcel Dekker, Inc.

publication date

  • January 1, 1996

published in

Digital Object Identifier (DOI)

start page

  • 2349

end page

  • 2369

volume

  • 25

issue

  • 10