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More on the two-parameter estimation in the restricted regression

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  • Yalian Li
  • Hu Yang

Abstract

In this paper, we introduce a new restricted two-parameter (RTP) estimator for the vector of parameters in a linear model when additional linear restrictions on the parameter vector are assumed to hold. We show that our new biased estimator is superior in the matrix mean square error criterion to the restricted ridge estimator proposed by Groß (2003), restricted Liu estimator introduced by Kaçiranlar et al. (1999), and RTP estimator introduced by Özkale and Kaçiranlar (2007). A numerical example and a Monte Carlo simulation have been analyzed to illustrate some of the theoretical results.

Suggested Citation

  • Yalian Li & Hu Yang, 2016. "More on the two-parameter estimation in the restricted regression," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(24), pages 7184-7196, December.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:24:p:7184-7196
    DOI: 10.1080/03610926.2014.978944
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