On the Stochastic Restricted Modified Almost Unbiased Liu Estimator in Linear Regression Model

Abstract

In this article, we propose a new biased estimator, namely stochastic restricted modified almost unbiased Liu estimator by combining modified almost unbiased Liu estimator (MAULE) and mixed estimator (ME) when the stochastic restrictions are available and the multicollinearity presents. The conditions of superiority of the proposed estimator over the ordinary least square estimator, ME, ridge estimator, Liu estimator, almost unbiased Liu estimator, stochastic restricted Liu estimator and MAULE in the mean squared error matrix sense are obtained. Finally, a numerical example and a Monte Carlo simulation are given to illustrate the theoretical findings.

Keywords

Multicollinearity / Stochastic restrictions / Modified almost unbiased Liu estimator / Stochastic restricted modified almost unbiased Liu estimator / Mean squared error matrix

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