Difference Based Ridge and Liu Type Estimators in Semiparametric Regression Models

SFB 649 Discussion Paper 2011-014

25 Pages Posted: 9 Jan 2017

See all articles by Esra Duran

Esra Duran

Gazi University

Wolfgang Karl Härdle

Blockchain Research Center Humboldt-Universität zu Berlin; Charles University; National Yang Ming Chiao Tung University; Asian Competitiveness Institute

Maria Osipenko

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE)

Date Written: March 3, 2011

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 analysed 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.

Keywords: Difference based estimator, Differencing estimator, Differencing matrix, Liu estimator, Liu type estimator, Multicollinearity, Ridge regression estimator, Semiparametric model

JEL Classification: C14, C51

Suggested Citation

Duran, Esra and Härdle, Wolfgang Karl and Osipenko, Maria, Difference Based Ridge and Liu Type Estimators in Semiparametric Regression Models (March 3, 2011). SFB 649 Discussion Paper 2011-014, Available at SSRN: https://ssrn.com/abstract=2894251 or http://dx.doi.org/10.2139/ssrn.2894251

Esra Duran

Gazi University ( email )

Teknikokullar Ankara, 06500
Turkey

Wolfgang Karl Härdle (Contact Author)

Blockchain Research Center Humboldt-Universität zu Berlin ( email )

Unter den Linden 6
Berlin, D-10099
Germany

Charles University ( email )

Celetná 13
Dept Math Physics
Praha 1, 116 36
Czech Republic

National Yang Ming Chiao Tung University ( email )

No. 1001, Daxue Rd. East Dist.
Hsinchu City 300093
Taiwan

Asian Competitiveness Institute ( email )

Singapore

Maria Osipenko

Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) ( email )

Spandauer Strasse 1
Berlin, D-10178
Germany

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