MEAN SQUARED ERROR COMPARISONS OF SOME BIASED REGRESSION ESTIMATORS

Abstract

Gunst and Mason (1976) and Trenkler (1980) have compared several regression estimators with respect to the generalized mean squared error criterion. The purpose of this paper is to deal with the comparisons among the some other biased estimators constructed as alternatives to the least squares estimator when multicollinearity is present.

Keywords:

• Ridge regression
• Iteration estimator
• Liu estimator
• Mean square error
• Multicollinearity

ACKNOWLEDGMENTS

The authors are grateful to Professor William B. Smith, the Editor-in-Chief, and to the referee for their detailed comments and suggestions.