The generalized raise regression: an alternative to ridge regression
C. Garcia Garcia, R. Salmerón Gómez, J. Garcia Perez
This paper completely formalizes the raise estimator presenting the generalization of the estimation and the relation between the raise and the residualization
estimators. The norm of the estimator, the behavior of the individual and joint
significance, the behavior of the mean squared error and the coefficient of variation are analyzed. The usefulness of the raise regression as an alternative to ridge regression is illustrated with an empirical application.
Keywords: Multicolinearity, raise regression, estimation, inference, detection, variance inflation factor, mean square error.
Scheduled
Invited Session Quantitative Methods for Economics and Business.
June 7, 2022 4:50 PM
Grade Hall
Other papers in the same session
C. García García, R. Salmerón Gómez, C. Garcia Garcia
F. Prieto, J. M. Sarabia, E. Calderín-Ojeda
R. Salmerón Gómez, C. Garcia Garcia, J. Garcia Perez
A. Rodríguez Sánchez, C. B. Garcia Garcia, R. Salmerón Gómez
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6/8/22
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5/23/22
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