The raise estimator: estimation, inference, and properties
Metadatos
Afficher la notice complèteAuteur
Salmerón Gómez, Román; García García, Catalina; García Pérez, José; López Martín, María Del MarEditorial
Taylor and Francis
Materia
Multicolinealidad Multicollinearity Raise estimator Regression Ridge Regression Variance inflator factor
Date
2017Referencia bibliográfica
Published version: Roman Salmeron, Catalina Garcia, Jose Garcia & Maria del Mar Lopez (2017) The raise estimator estimation, inference, and properties, Communications in Statistics - Theory and Methods, 46:13, 6446-6462. https://doi.org/10.1080/03610926.2015.1125496
Résumé
Several methods using different approaches have been developed to remedy the consequences of collinearity. To the best of our knowledge, only the raise estimator proposed by García et al. (Citation2010) deals with this problem from a geometric perspective. This article fully develops the raise estimator for a model with two standardized explanatory variables. Inference in the raise estimator is examined, showing that it can be obtained from ordinary least squares methodology. In addition, contrary to what happens in ridge regression, the raise estimator maintains the coefficient of determination value constant. The expression of the variance inflation factor for the raise estimator is also presented. Finally, a comparative study of the raise and ridge estimators is carried out using an example.