Preliminary test almost unbiased ridge estimator in a linear regression model with multivariate Student-t errors

  • Jianwen Xu Chongqing University
  • Hu Yang Chongqing University
Keywords: preliminary test estimator, almost unbiased ridge estimator, multivariate Student-t error, quadratic risk

Abstract

In this paper, the preliminary test almost unbiased ridge estimators of the regression coefficients based on the conflicting Wald (W), Likelihood ratio (LR) and Lagrangian multiplier (LM) tests in a multiple regression model with multivariate Student-t errors are introduced when it is suspected that the regression coefficients may be restricted to a subspace. The bias and quadratic risks of the proposed estimators are derived and compared. Sufficient conditions on the departure parameter ∆ and the ridge parameter k are derived for the proposed estimators to be superior to the almost unbiased ridge estimator, restricted almost unbiased ridge estimator and preliminary test estimator. Furthermore, some graphical results are provided to illustrate theoretical results.

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Published
2020-12-11
Section
Articles