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A stochastic restricted ridge regression estimator

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  • Özkale, M. Revan

Abstract

Groß [J. Groß, Restricted ridge estimation, Statistics & Probability Letters 65 (2003) 57-64] proposed a restricted ridge regression estimator when exact restrictions are assumed to hold. When there are stochastic linear restrictions on the parameter vector, we introduce a new estimator by combining ideas underlying the mixed and the ridge regression estimators under the assumption that the errors are not independent and identically distributed. Apart from [J. Groß, Restricted ridge estimation, Statistics & Probability Letters 65 (2003) 57-64], we call this new estimator as the stochastic restricted ridge regression (SRRR) estimator. The performance of the SRRR estimator over the mixed estimator in respect of the variance and the mean square error matrices is examined. We also illustrate our findings with a numerical example. The shrinkage generalized least squares (GLS) and the stochastic restricted shrinkage GLS estimators are proposed.

Suggested Citation

  • Özkale, M. Revan, 2009. "A stochastic restricted ridge regression estimator," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1706-1716, September.
    • Handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1706-1716
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    References listed on IDEAS

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    1. Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
    2. Trenkler, G., 1984. "On the performance of biased estimators in the linear regression model with correlated or heteroscedastic errors," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 179-190.
    3. Groß, Jürgen, 2003. "Restricted ridge estimation," Statistics & Probability Letters, Elsevier, vol. 65(1), pages 57-64, October.
    4. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
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    Cited by:

    1. M. Revan Özkale & Hans Nyquist, 2021. "The stochastic restricted ridge estimator in generalized linear models," Statistical Papers, Springer, vol. 62(3), pages 1421-1460, June.
    2. Zhang, Weiwei & Li, Gaorong & Xue, Liugen, 2011. "Profile inference on partially linear varying-coefficient errors-in-variables models under restricted condition," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 3027-3040, November.
    3. Jiewu Huang & Hu Yang, 2015. "On a principal component two-parameter estimator in linear model with autocorrelated errors," Statistical Papers, Springer, vol. 56(1), pages 217-230, February.
    4. F. Ghapani & A. R. Rasekh & B. Babadi, 2018. "The weighted ridge estimator in stochastic restricted linear measurement error models," Statistical Papers, Springer, vol. 59(2), pages 709-723, June.

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