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Estimation of Linear Mixed Measurement Error Models in the Presence of Multicollinearity
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Fatemeh Ghapani    , Babak Babadi * |
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Abstract: (932 Views) |
| In this paper, we introduce the weighted ridge estimators of fixed and random effects in stochastic restricted linear mixed measurement error models when collinearity is present. The asymptotic properties of the resulting estimates are examined. The necessary and sufficient conditions, for the superiority of the weighted ridge estimators against the weighted estimator in order to select the ridge parameter based on the mean squared error matrix of estimators, are investigated. Finally, theoretical results are augmented with a simulation study and a numerical example. |
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| Keywords: Weighted estimator, Weighted ridge estimators, Stochastic restricted |
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Full-Text [PDF 311 kb]
(511 Downloads)
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Type of Study: Applied |
Subject:
Applied Statistics
Received: 2022/10/22 | Accepted: 2024/02/29 | Published: 2024/02/22
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