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Stochastic Restricted Liu Type estimator for SUR model

Author(s)
Tarek Mahmoud Omara Department of Statistics Mathematics and Insurance -Faculty of Commerce Kafrelsheikh University, Egypt
Abstract
In this paper, we introduce new Stochastic Restricted Estimator for SUR model, defined by Stochastic Restricted Liu Type SUR estimator (SRLTSE) . The proposed estimator has to deal with multicollinearity in SUR model if there is a degree of uncertainty in the parameters restriction. Moreover, the superiority of (SRLTSE) was derived with respect to mean squared error matrix (MSEM) criterion. Finally, a simulation study was conducted. This simulation used standard mean squares error (MSE) criterion to illustrate the advantage between Stochastic Restricted SUR estimator (SRSE), Stochastic Restricted Ridge SUR estimator (SRRSE), and Stochastic Restricted Liu Type SUR estimator (SRLTSE) at by several factors.
Publication Details
Page(s) 903-911
DOI DOI not available
Published Journal: Pakistan Journal of Statistics and Operation Research, Volume: 14, Issue: 4, Year: 2018

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Keywords
SUR model, Stochastic restricted SUR estimator (SRSE), Stochastic restricted Liu type SUR estimator (SRLTSE), Stochastic restricted ridge SUR estimator (SRRSE)
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