Efficiency of the generalized difference-based Liu estimators in semiparametric regression models with correlated errors

Abstract

In this paper, a generalized difference-based estimator is introduced for the vector parameter β in the semiparametric regression model when the errors are correlated. A generalized difference-based Liu estimator is defined for the vector parameter β in the semiparametric regression model. Under the linear nonstochastic constraint Rβ=r, the generalized restricted difference-based Liu estimator is given. The risk function for the βˆ_GRD(η) associated with weighted balanced loss function is presented. The performance of the proposed estimators is evaluated by a simulated data set.

Keywords:

• balanced loss function
• difference-based estimator
• generalized Liu estimator
• generalized difference-based restricted Liu estimator
• semiparametric regression model

AMS Subject Classification:

• Primary: 62G08
• Secondary: 62J07