[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/pqs/wpaper/0082005.html
   My bibliography  Save this paper

Effect of W, LR, and LM Tests on the Performance of Preliminary Test Ridge Regression Estimators

Author

Listed:
  • B. M. Golam Kibria

    (Department of Statistics, Florida International University)

  • A.K.Md. E. Saleh

    (Department of Mathematics and Statistics, Carleton University)

Abstract
This paper combines the idea of preliminary test and ridge regression methodology, when it is suspected that the regression coefficients may be restricted to a subspace. The preliminary test ridge regression estimators (PTRRE) based on the Wald (W), Likelihood Ratio (LR) and Lagrangian Multiplier (LM) tests are considered. The bias and the mean square errors (MSE) of the proposed estimators are derived under both null and alternative hypotheses. By studying the MSE criterion, the regions of optimality of the estimators are determined. Under the null hypothesis, the PTRRE based on LM test has the smallest risk followed by the estimators based on LR and W tests. However, the PTRRE based on W test performs the best followed by the LR and LM based estimators when the parameter moves away from the subspace of the restrictions. The conditions of superiority of the proposed estimator for both ridge parameter k and departure parameter (triangle symbol) are provided. Some graphical representations have been presented which support the findings of the paper. Some tables for maximum and minimum guaranteed relative efficiency of the proposed estimators have been provided. These tables allow us to determine the optimum level of significance corresponding to the optimum estimators among proposed estimators. Finally, we concluded that the optimum choice of the level of significance becomes the traditional choice by using the W test for all non-negative ridge parameter, k.

Suggested Citation

  • B. M. Golam Kibria & A.K.Md. E. Saleh, 2002. "Effect of W, LR, and LM Tests on the Performance of Preliminary Test Ridge Regression Estimators," RePAd Working Paper Series lrsp-TRS364, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0082005
    as

    Download full text from publisher

    File URL: http://www.repad.org/ca/on/lrsp/TRS364.pdf
    File Function: First version, 2002
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Dominance; Lagrangian Multiplier; Likelihood Ratio Test; MSE; Non-central Chisquare and F; Ridge Regression; Superiority; Wald Test.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pqs:wpaper:0082005. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Calmes (email available below). General contact details of provider: https://edirc.repec.org/data/dsuqoca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.