Stochastic Restricted Liu Type estimator for SUR model

Tarek Mahmoud Omara

Abstract


In this paper, we introduce new Stochastic Restricted Estimator for SUR model, defined by Stochastic  Restricted Liu Type  SUR estimator (SRLTSE) . The propose estimator has deal with multicollinearity in SUR model if there is a degree of uncertainty in the parameters restriction. Moreover, the superiority of (SRLTSE) estimator  was derived with respect to mean squared error matrix (MSEM) criteria. Finally, a simulation study was conducted. This simulation used standard mean squares error  (MSE) criterion to illustrate the advantage between Stochastic  Restricted SUR estimator (SRSE), Stochastic  Restricted Ridge SUR estimator (SRRSE), and Stochastic  Restricted Liu Type  SUR estimator (SRLTSE) at several factors. 


Keywords


SUR model, Stochastic Restricted SUR estimator (SRSE), Stochastic Restricted Ridge SUR estimator (SRRSE), and Stochastic Restricted Liu Type SUR estimator (SRLTSE) .

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DOI: http://dx.doi.org/10.18187/pjsor.v14i4.2302

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Title

Stochastic Restricted Liu Type estimator for SUR model

Keywords

SUR model, Stochastic Restricted SUR estimator (SRSE), Stochastic Restricted Ridge SUR estimator (SRRSE), and Stochastic Restricted Liu Type SUR estimator (SRLTSE) .

Description

In this paper, we introduce new Stochastic Restricted Estimator for SUR model, defined by Stochastic  Restricted Liu Type  SUR estimator (SRLTSE) . The propose estimator has deal with multicollinearity in SUR model if there is a degree of uncertainty in the parameters restriction. Moreover, the superiority of (SRLTSE) estimator  was derived with respect to mean squared error matrix (MSEM) criteria. Finally, a simulation study was conducted. This simulation used standard mean squares error  (MSE) criterion to illustrate the advantage between Stochastic  Restricted SUR estimator (SRSE), Stochastic  Restricted Ridge SUR estimator (SRRSE), and Stochastic  Restricted Liu Type  SUR estimator (SRLTSE) at several factors. 


Date

2018-12-25

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 14 No. 4, 2018



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810