On the Principal Component Liu-type Estimator in Linear Regression

Abstract

In this article, we present a principal component Liu-type estimator (LTE) by combining the principal component regression (PCR) and LTE to deal with the multicollinearity problem. The superiority of the new estimator over the PCR estimator, the ordinary least squares estimator (OLSE) and the LTE are studied under the mean squared error matrix. The selection of the tuning parameter in the proposed estimator is also discussed. Finally, a numerical example is given to explain our theoretical results.

Keywords:

• Liu-type estimator
• Mean squared error matrix
• Ordinary least squares estimator

Mathematics Subject Classification:

• 62J07