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A Poisson ridge regression estimator

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  • Månsson, Kristofer
  • Shukur, Ghazi

Abstract

The standard statistical method for analyzing count data is the Poisson regression model, which is usually estimated using maximum likelihood (ML) method. The ML method is very sensitive to multicollinearity. Therefore, we present a new Poisson ridge regression estimator (PRR) as a remedy to the problem of instability of the traditional ML method. To investigate the performance of the PRR and the traditional ML approaches for estimating the parameters of the Poisson regression model, we calculate the mean squared error (MSE) using Monte Carlo simulations. The result from the simulation study shows that the PRR method outperforms the traditional ML estimator in all of the different situations evaluated in this paper.

Suggested Citation

  • Månsson, Kristofer & Shukur, Ghazi, 2011. "A Poisson ridge regression estimator," Economic Modelling, Elsevier, vol. 28(4), pages 1475-1481, July.
    • Handle: RePEc:eee:ecmode:v:28:y:2011:i:4:p:1475-1481
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    References listed on IDEAS

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    1. Alkhamisi, M.A. & Shukur, Ghazi, 2007. "Developing Ridge Parameters for SUR Models," Working Paper Series in Economics and Institutions of Innovation 80, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
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    Cited by:

    1. M. Revan Özkale & Atif Abbasi, 2022. "Iterative restricted OK estimator in generalized linear models and the selection of tuning parameters via MSE and genetic algorithm," Statistical Papers, Springer, vol. 63(6), pages 1979-2040, December.
    2. Månsson, Kristofer & Kibria, B. M. Golam & Sjölander, Pär & Shukur, Ghazi, 2011. "New Liu Estimators for the Poisson Regression Model: Method and Application," HUI Working Papers 51, HUI Research.
    3. Semra Türkan & Gamze Özel, 2016. "A new modified Jackknifed estimator for the Poisson regression model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(10), pages 1892-1905, August.
    4. Muhammad Amin & Muhammad Qasim & Muhammad Amanullah & Saima Afzal, 2020. "Performance of some ridge estimators for the gamma regression model," Statistical Papers, Springer, vol. 61(3), pages 997-1026, June.
    5. Akhil Rao & Francesca Letizia, 2022. "An integrated debris environment assessment model," Papers 2205.05205, arXiv.org.
    6. Månsson, Kristofer, 2012. "On ridge estimators for the negative binomial regression model," Economic Modelling, Elsevier, vol. 29(2), pages 178-184.

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    2. Muniz, Gisela & Kibria, B. M.Golam & Shukur, Ghazi, 2009. "On Developing Ridge Regression Parameters: A Graphical investigation," HUI Working Papers 29, HUI Research.
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    More about this item

    Keywords

    Poisson regression Maximum likelihood Ridge regression MSE Monte Carlo simulations Multicollinearity;

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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