Abstract
In this article, we begin by providing a theoretical comparison between Farebrother’s estimator and the ridge estimator, in terms of the MSE matrix criterion, under three distinct restrictions when is random. Additionally, we propose an estimate of parameter for Farebrother’s estimator. Subsequently, we present a Monte Carlo simulation experiment to compare Farebrother’s estimator with OLS, RLS, and ridge estimators.
Disclosure statement
The authors report there are no competing interests to declare.