The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application
This paper considers the Ridge Feasible Generalized Least Squares Estimator (RFGLSE), Ridge Seemingly Unrelated Regression RSUR and proposes the Kibria-Lukman KLSUR estimator for the parameters of the Seemingly Unrelated Regression (SUR) model when the regressors of the models are collinear. A simu...
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| Format: | Article |
| Language: | English |
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Nigerian Society of Physical Sciences
2023-06-01
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| Series: | Journal of Nigerian Society of Physical Sciences |
| Subjects: | |
| Online Access: | https://journal.nsps.org.ng/index.php/jnsps/article/view/1514 |
| _version_ | 1797803716468801536 |
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| author | Oluwayemisi Oyeronke Alaba B. M. Golam Kibria |
| author_facet | Oluwayemisi Oyeronke Alaba B. M. Golam Kibria |
| author_sort | Oluwayemisi Oyeronke Alaba |
| collection | DOAJ |
| description |
This paper considers the Ridge Feasible Generalized Least Squares Estimator (RFGLSE), Ridge Seemingly Unrelated Regression RSUR and proposes the Kibria-Lukman KLSUR estimator for the parameters of the Seemingly Unrelated Regression (SUR) model when the regressors of the models are collinear. A simulation study was conducted to compare the performance of the three different types of estimators for the SUR model. Different correlation levels (0.0, 0.1, 0.2, ..., 0.9) among the independent variables, sample sizes replicated 10000 times and contemporaneous error correlation (0.0, 0.1, 0.2, ..., 0.9) among the equations were assumed for the simulation study. The efficiency of the three (RFGLSE, RSUR, and KLSUR estimators for SUR, when the predictors are correlated, was investigated using the Trace Mean Square Error (TMSE). The results showed that the KLSUR estimator outperformed the other estimators except for a few cases when the sample size is small.
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| first_indexed | 2024-03-13T05:25:06Z |
| format | Article |
| id | doaj.art-352c628384c842c3ae33e755c55bf4c5 |
| institution | Directory Open Access Journal |
| issn | 2714-2817 2714-4704 |
| language | English |
| last_indexed | 2024-03-13T05:25:06Z |
| publishDate | 2023-06-01 |
| publisher | Nigerian Society of Physical Sciences |
| record_format | Article |
| series | Journal of Nigerian Society of Physical Sciences |
| spelling | doaj.art-352c628384c842c3ae33e755c55bf4c52023-06-15T06:47:25ZengNigerian Society of Physical SciencesJournal of Nigerian Society of Physical Sciences2714-28172714-47042023-06-015310.46481/jnsps.2023.1514The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and ApplicationOluwayemisi Oyeronke Alaba0B. M. Golam Kibria1Department of Statistics, University of Ibadan, Nigeria | Department of Mathematics and Statistics, Florida International University, Miami, FL, USADepartment of Mathematics and Statistics, Florida International University, Miami, FL, USA This paper considers the Ridge Feasible Generalized Least Squares Estimator (RFGLSE), Ridge Seemingly Unrelated Regression RSUR and proposes the Kibria-Lukman KLSUR estimator for the parameters of the Seemingly Unrelated Regression (SUR) model when the regressors of the models are collinear. A simulation study was conducted to compare the performance of the three different types of estimators for the SUR model. Different correlation levels (0.0, 0.1, 0.2, ..., 0.9) among the independent variables, sample sizes replicated 10000 times and contemporaneous error correlation (0.0, 0.1, 0.2, ..., 0.9) among the equations were assumed for the simulation study. The efficiency of the three (RFGLSE, RSUR, and KLSUR estimators for SUR, when the predictors are correlated, was investigated using the Trace Mean Square Error (TMSE). The results showed that the KLSUR estimator outperformed the other estimators except for a few cases when the sample size is small. https://journal.nsps.org.ng/index.php/jnsps/article/view/1514MulticollinearityRidge feasible generalized least squares estimatorSeemingly Unrelated RegressionTrace Mean Square ErrorK-LSUR |
| spellingShingle | Oluwayemisi Oyeronke Alaba B. M. Golam Kibria The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application Journal of Nigerian Society of Physical Sciences Multicollinearity Ridge feasible generalized least squares estimator Seemingly Unrelated Regression Trace Mean Square Error K-LSUR |
| title | The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application |
| title_full | The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application |
| title_fullStr | The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application |
| title_full_unstemmed | The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application |
| title_short | The Efficiency of the K-L Estimator for the Seemingly Unrelated Regression Model: Simulation and Application |
| title_sort | efficiency of the k l estimator for the seemingly unrelated regression model simulation and application |
| topic | Multicollinearity Ridge feasible generalized least squares estimator Seemingly Unrelated Regression Trace Mean Square Error K-LSUR |
| url | https://journal.nsps.org.ng/index.php/jnsps/article/view/1514 |
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