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Improved estimation under collinearity and squared error loss
Authors:RCarter Hill  George G Judge
Abstract:This paper examines the performance of several biased, Stein-like and empirical Bayes estimators for the general linear statistical model under conditions of collinearity. A new criterion for deleting principal components, based on an unbiased estimator of risk, is introduced. Using a squared error measure and Monte Carlo sampling experiments, the resulting estimator's performance is evaluated and compared with other traditional and non-traditional estimators.
Keywords:multicollinearity  principal components  linear regression  Stein rules  empirical Bayes estimators  unbiased estimation of risk
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