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r-k-d Sınıf Tahmin Edici ile Tahmin ve Kestirim

Year 2013, Volume: 17 Issue: 1, 71 - 81, 01.06.2013

Abstract

Çoklu lineer regresyon modellerinde çoklu iç ilişki olması durumunda, EKK tahmin edicisi yansızlığını korur, ancak varyansı büyür ve mutlak değerce büyük parametre tahminleri vermektedir. Bu nedenle X X matrisinin kötü koşulluluğunu ortadan kaldırmaya ve varyansı küçültmeye yönelik çeşitli yanlı tahmin ediciler geliştirilmiş ve önerilmiştir. r-k-d sınıf tahmin edici bunlardan biridir. Bu tahmin edici 7 farklı tahmin ediciyi özel durumlar olarak ihtiva ettiğinden oldukça esnek ve geniş kapsamlı bir tahmin edicidir. Bu çalışmada, r-k-d sınıf tahmin edicinin ampirik çalışmalarda ne denli kullanışlı olduğu gösterilmiştir.

References

  • BAYE, M. R., and PARKER, D. F., 1984. Combining Ridge and Principal Component Regression: A Money Demand Illustration. Comm. Statist. Theory Methods, 13, 2, 197-205.
  • HOERL, A. E., and KENNARD, R. W., 1970. Ridge Regression: Biased Estimation for Nonorthogonal Problems. Technometrics, 12, 1, 55-67.
  • İNAN, D., 2011. Combining the Liu-Type Estimator and the Principal Component Regression Estimator: A Comparative Simulation Study. European Young Statisticians Meeting, 17th EYMS. Lisbon, Portugal.
  • KAÇIRANLAR, S., and SAKALLIOĞLU, S., 2001. Combining the Liu Estimator and the Principal Component Regression Estimator. Comm. Statist. Theory Methods, 30, 12, 2699-2705.
  • LIU, K., 1993. A New Class of Biased Estimate in Linear Regression. Comm. Statist. Theory Methods, 22, 2, 393-402.
  • LIU, K., 2003. Using Liu-Type Estimator to Combat Collinearity. Comm. Statist. Theory Methods, 32, 5, 1009-1020.
  • MONTGOMERY, D. C., and FRIEDMAN D. J., 1993. Prediction Using Regression Models with Multicollinear Predictor Variables. IIE Transactions, 25 (3), 73- 85.
  • STEIN C. 1956. Inadmissibility of usual estimator for the mean of a multivariate normal distribution. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1: 197-206.

Estimation and Prediction with r-k-d Class Estimator

Year 2013, Volume: 17 Issue: 1, 71 - 81, 01.06.2013

Abstract

In the presence of multicollinearity the OLS estimator remains unbiased, but the variances and the absolute values of the parameter estimations are tend to be large. Various biased estimators are developed and proposed in order to eliminate ill conditioning of X’X matrix and reduce the variance. One of them is r-k-d class estimator. This estimator is quite flexible and extensive because it contains 7 different estimators as special cases. The main aim of this paper is to show how usable this estimator is in empirical studies.

References

  • BAYE, M. R., and PARKER, D. F., 1984. Combining Ridge and Principal Component Regression: A Money Demand Illustration. Comm. Statist. Theory Methods, 13, 2, 197-205.
  • HOERL, A. E., and KENNARD, R. W., 1970. Ridge Regression: Biased Estimation for Nonorthogonal Problems. Technometrics, 12, 1, 55-67.
  • İNAN, D., 2011. Combining the Liu-Type Estimator and the Principal Component Regression Estimator: A Comparative Simulation Study. European Young Statisticians Meeting, 17th EYMS. Lisbon, Portugal.
  • KAÇIRANLAR, S., and SAKALLIOĞLU, S., 2001. Combining the Liu Estimator and the Principal Component Regression Estimator. Comm. Statist. Theory Methods, 30, 12, 2699-2705.
  • LIU, K., 1993. A New Class of Biased Estimate in Linear Regression. Comm. Statist. Theory Methods, 22, 2, 393-402.
  • LIU, K., 2003. Using Liu-Type Estimator to Combat Collinearity. Comm. Statist. Theory Methods, 32, 5, 1009-1020.
  • MONTGOMERY, D. C., and FRIEDMAN D. J., 1993. Prediction Using Regression Models with Multicollinear Predictor Variables. IIE Transactions, 25 (3), 73- 85.
  • STEIN C. 1956. Inadmissibility of usual estimator for the mean of a multivariate normal distribution. Proceedings of the Third Berkeley Symposium on Mathematical Statistics and Probability, 1: 197-206.
There are 8 citations in total.

Details

Primary Language Turkish
Journal Section Research Articles
Authors

Fela Özbey

Publication Date June 1, 2013
Submission Date August 11, 2015
Published in Issue Year 2013 Volume: 17 Issue: 1

Cite

APA Özbey, F. (2013). r-k-d Sınıf Tahmin Edici ile Tahmin ve Kestirim. Çukurova Üniversitesi İktisadi Ve İdari Bilimler Fakültesi Dergisi, 17(1), 71-81.