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.
Palabras clave: Multicolinearity, raise regression, estimation, inference, detection, variance inflation factor, mean square error.
Programado
Sesión Invitada Métodos Cuantitativos para la Economía y la Empresa.
7 de junio de 2022 16:50
Salón de Grados
