Research Article
A New Ridge-Type Estimator for the Linear Regression Model: Simulations and Applications
Table 4
Estimated MSE when
n = 100,
, and
ρ = 0.90 and 0.99.
| n = 30 | 0.9 | 0.99 | Sigma | k = d | OLS | Ridge | Liu | New est | OLS | Ridge | Liu | New est |
| 1 | 0.1 | 0.287 | 0.278 | 0.230 | 0.270 | 3.072 | 2.141 | 0.688 | 1.423 | | 0.2 | | 0.270 | 0.236 | 0.255 | | 1.621 | 0.836 | 0.769 | | 0.3 | | 0.263 | 0.241 | 0.242 | | 1.298 | 1.013 | 0.528 | | 0.4 | | 0.256 | 0.247 | 0.231 | | 1.083 | 1.219 | 0.472 | | 0.5 | | 0.250 | 0.253 | 0.221 | | 0.930 | 1.455 | 0.506 | | 0.6 | | 0.244 | 0.259 | 0.213 | | 0.819 | 1.720 | 0.583 | | 0.7 | | 0.239 | 0.265 | 0.206 | | 0.733 | 2.014 | 0.680 | | 0.8 | | 0.234 | 0.272 | 0.200 | | 0.667 | 2.337 | 0.785 | | 0.9 | | 0.230 | 0.279 | 0.195 | | 0.613 | 2.690 | 0.892 | | 1 | | 0.226 | 0.287 | 0.191 | | 0.570 | 3.072 | 0.997 |
| 5 | 0.1 | 6.958 | 6.719 | 5.256 | 6.486 | 76.772 | 53.314 | 14.746 | 34.689 | | 0.2 | | 6.495 | 5.431 | 6.050 | | 39.905 | 18.971 | 16.660 | | 0.3 | | 6.283 | 5.610 | 5.649 | | 31.412 | 23.862 | 8.834 | | 0.4 | | 6.083 | 5.792 | 5.278 | | 25.626 | 29.420 | 5.803 | | 0.5 | | 5.893 | 5.977 | 4.935 | | 21.466 | 35.645 | 5.174 | | 0.6 | | 5.714 | 6.166 | 4.617 | | 18.350 | 42.537 | 5.795 | | 0.7 | | 5.544 | 6.359 | 4.324 | | 15.939 | 50.096 | 7.072 | | 0.8 | | 5.383 | 6.555 | 4.052 | | 14.024 | 58.321 | 8.686 | | 0.9 | | 5.230 | 6.754 | 3.799 | | 12.471 | 67.213 | 10.458 | | 1 | | 5.085 | 6.958 | 3.566 | | 11.189 | 76.772 | 12.287 |
| 10 | 0.1 | 27.809 | 26.853 | 20.970 | 25.916 | 307.086 | 213.255 | 58.717 | 138.685 | | 0.2 | | 25.951 | 21.675 | 24.167 | | 159.582 | 75.683 | 66.354 | | 0.3 | | 25.100 | 22.394 | 22.551 | | 125.559 | 95.308 | 34.815 | | 0.4 | | 24.296 | 23.126 | 21.056 | | 102.365 | 117.590 | 22.463 | | 0.5 | | 23.535 | 23.872 | 19.672 | | 85.681 | 142.529 | 19.743 | | 0.6 | | 22.815 | 24.632 | 18.389 | | 73.175 | 170.126 | 22.045 | | 0.7 | | 22.131 | 25.406 | 17.200 | | 63.493 | 200.380 | 26.995 | | 0.8 | | 21.482 | 26.193 | 16.096 | | 55.802 | 233.291 | 33.308 | | 0.9 | | 20.865 | 26.994 | 15.071 | | 49.561 | 268.860 | 40.270 | | 1 | | 20.279 | 27.809 | 14.120 | | 44.407 | 307.086 | 47.470 |
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