Record Details

A simulation study of least squares and ridge estimators for small samples

Journal of Economics and Business - SPOUDAI

View Archive Info
 
 
Field Value
 
Title A simulation study of least squares and ridge estimators for small samples
A simulation study of least squares and ridge estimators for small samples
 
Creator Δονάτος, Γεώργιος Σ.
Μιχαηλίδης, Γεώργιος
 
Subject Συγκριτική μελέτη; Κοινοτικές στατιστικές
Comparative study; Community statistics
 
Description In this paper we consider the Least Squares (LS) estimator (predictor) and various ridge estimators
(predictors) and report on a Monte Carlo study their small sample properties. The Monte Carlo experiment
is applied to a residential electricity demand function with data from the Greek economy. On the
basis of 2,500 replications of sample size 24 for normal disturbances we find that for the measures of
dispersion the HKB estimator appears to be superior to the rest of the examined estimators. On the other
hand the choice of alternative predictors for several measures of bias and dispersion is not clear. Furthermore,
it should be noted that the small sample properties of the ridge estimators turn out to be different
from the small sample properties of their respective predictors.
 
Publisher University of Piraeus
 
Date 1992-01-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/pdf
 
Identifier http://spoudai.unipi.gr/index.php/spoudai/article/view/989
 
Source SPOUDAI - Journal of Economics and Business; Vol 42, No 1 (1992); 3-10
2241-424X
1105-8919
 
Language eng
 
Relation http://spoudai.unipi.gr/index.php/spoudai/article/view/989/1068
 
Rights Copyright (c) 1992 SPOUDAI - Journal of Economics and Business