Multicollinearity in linear economic models:
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 v...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Dordrecht
Springer Netherlands
1973
|
| Ausgabe: | 1st ed. 1973 |
| Schriftenreihe: | Tilburg Studies in Economics
7 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (VIII, 103 p. 1 illus) |
| ISBN: | 9789401174862 |
| DOI: | 10.1007/978-94-011-7486-2 |
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| 520 | |a 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 | ||
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| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-94-011-7486-2 |
| edition | 1st ed. 1973 |
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| spelling | Neeleman, D. Verfasser aut Multicollinearity in linear economic models by D. Neeleman 1st ed. 1973 Dordrecht Springer Netherlands 1973 1 Online-Ressource (VIII, 103 p. 1 illus) txt rdacontent c rdamedia cr rdacarrier Tilburg Studies in Economics 7 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 Economics, general Economics Management science (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Druck-Ausgabe 9789401174886 Erscheint auch als Druck-Ausgabe 9789401174879 Erscheint auch als Druck-Ausgabe 9789023729105 https://doi.org/10.1007/978-94-011-7486-2 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Neeleman, D. Multicollinearity in linear economic models Economics, general Economics Management science |
| subject_GND | (DE-588)4113937-9 |
| title | Multicollinearity in linear economic models |
| title_auth | Multicollinearity in linear economic models |
| title_exact_search | Multicollinearity in linear economic models |
| title_exact_search_txtP | Multicollinearity in linear economic models |
| title_full | Multicollinearity in linear economic models by D. Neeleman |
| title_fullStr | Multicollinearity in linear economic models by D. Neeleman |
| title_full_unstemmed | Multicollinearity in linear economic models by D. Neeleman |
| title_short | Multicollinearity in linear economic models |
| title_sort | multicollinearity in linear economic models |
| topic | Economics, general Economics Management science |
| topic_facet | Economics, general Economics Management science Hochschulschrift |
| url | https://doi.org/10.1007/978-94-011-7486-2 |
| work_keys_str_mv | AT neelemand multicollinearityinlineareconomicmodels |