Generalized difference-based weighted mixed almost unbiased ridge estimator in partially linear models

Abstract

In this paper, a generalized difference-based estimator is introduced for the vector parameter β in partially linear model when the errors are correlated. A generalized difference-based almost unbiased ridge estimator is defined for the vector parameter β. Under the linear stochastic constraint r = Rβ + e, a new generalized difference-based weighted mixed almost unbiased ridge estimator is proposed. The performance of this estimator over the generalized difference-based weighted mixed estimator, the generalized difference-based estimator, and the generalized differencebased almost unbiased ridge estimator in terms of the mean square error matrix criterion is investigated. Then, a method to select the biasing parameter k and nonstochastic weight ω is considered. The efficiency properties of the new estimator is illustrated by a simulation study. Finally, the performance of the new estimator is evaluated for a real dataset. KeywordsDifference-based estimator • Generalized ridge estimator • Generalized difference-based weighted mixed almost unbiased ridge estimator • Partially linear model • Weighted mixed estimator

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