Preliminary test stochastic restricted liu estimator based on wald, likelihood ratio and langrangian multiplier tests in the linear regression model
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Date
2013-07-04
Authors
Arumairajan, S.
Wijekoon, P.
Journal Title
Journal ISSN
Volume Title
Publisher
The University of Peradeniya
Abstract
Ridge type estimators are used to estimate regression parameters in a multiple linear regression model when multicolinearity exists among predictor variables. When different estimators are available, reliminary test estimation procedure is adopted to select a suitable estimator.
In this research two ridge estimators, the Stochastic Restricted Liu Estimator and Liu Estimator are combined to define a new preliminary test estimator, namely the Preliminary Test Stochastic Restricted Liu Estimator (PTSRLE). The stochastic properties of PTSRLE are derived, and the performance PTSRLE is compared using Wald (WA), Likelihood Ratio (LR) and Lagrangian Multiplier (LM) tests as a function of the shrinkage parameter d with respect to the Scalar Mean Square Error.
Based on this comparison, it was revealed that when d is small PTSRLE based on WA test has the smallest Scalar Mean Square Error followed by the estimators based on LR and LM tests, and if d is large enough and near one, the situation is reversed.
Description
Keywords
Linear regression model , Langrangian multiplier , Stochastic restricted liu estimator
Citation
Peradeniya University Research Sessions PURSE - 2012, Book of Abstracts, University of Peradeniya, Sri Lanka, Vol. 17, July. 4. 2012 pp.157