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

La mortalidad de las empresas en sus primeros años de vida.

F. Prieto, J. M. Sarabia, E. Calderín-Ojeda

Redefinición del Factor de Inflación de la Varianza

R. Salmerón Gómez, C. Garcia Garcia, J. Garcia Perez

Ridge Regression in the Nelson-Siegel model

A. Rodríguez Sánchez, C. B. Garcia Garcia, R. Salmerón Gómez


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