Multicollinearity in Linear Economic Models (Tilburg Studies in Economics, Band 7) - Hardcover

D. Neeleman

Hardcover

ISBN 10: 9023729102 ISBN 13: 9789023729105

Verlag: Kluwer Academic Publishers, 1973

Inhaltsangabe

It was R. Frisch, who in his publications 'Correlation and Scatter Analysis in Statistical Variables' (1929) and 'Statistical Confluence Analysis by means of Complete Regression Systems' (1934) first pointed out the complications that arise if one applies regression analysis to variables among which several independent linear relations exist. Should these relationships be exact, then there exist two closely related solutions for this problem, viz. 1. The estimation of 'stable' linear combinations of coefficients, the so-called estimable functions. 2. The dropping of the wen-known condition of unbiasedness of the estimators. This leads to minimum variance minimum bias estimators. This last solution is generalised in this book for the case of a model consisting of several equations. In econometrics however, the relations among variables are nearly always approximately linear so that one cannot apply one of the solutions mentioned above, because in that case the matrices used in these methods are, although ill-conditioned, always of full rank. Approximating these matrices by good-conditioned ones of the desired rank, it is possible to apply these estimation methods. In order to get an insight in the consequences of this approximation a simulation study has been carried out for a two-equation model. Two Stage Least Squares estimators and estimators found with the aid of the above mentioned estimation method have been compared. The results of this study seem to be favourable for this new method.

Details zur Ausgabe

• Verlag: Kluwer Academic Publishers
• Erscheinungsdatum: 1973
• Sprache: Englisch
• ISBN 10: 9023729102
• ISBN 13: 9789023729105
• Einband: Gebundene Ausgabe
• Anzahl der Seiten: 111
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Deutschland