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Difference based ridge and Liu type estimators in semiparametric regression models

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  • Akdeniz Duran, Esra
  • Härdle, Wolfgang Karl
  • Osipenko, Maria

Abstract

We consider a difference based ridge regression estimator and a Liu type estimator of the regression parameters in the partial linear semiparametric regression model, y=Xβ+f+ε. Both estimators are analyzed and compared in the sense of mean-squared error. We consider the case of independent errors with equal variance and give conditions under which the proposed estimators are superior to the unbiased difference based estimation technique. We extend the results to account for heteroscedasticity and autocovariance in the error terms. Finally, we illustrate the performance of these estimators with an application to the determinants of electricity consumption in Germany.

Suggested Citation

  • Akdeniz Duran, Esra & Härdle, Wolfgang Karl & Osipenko, Maria, 2012. "Difference based ridge and Liu type estimators in semiparametric regression models," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 164-175.
    • Handle: RePEc:eee:jmvana:v:105:y:2012:i:1:p:164-175
    DOI: 10.1016/j.jmva.2011.08.018
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    More about this item

    Keywords

    Difference based estimator; Differencing estimator; Differencing matrix; Liu estimator; Liu type estimator; Multicollinearity; Ridge regression estimator; Semiparametric model;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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