The raise method. An alternative procedure to estimate the parameters in presence of collinearity |
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Authors: | Catalina Garcia Garcia José García Pérez José Soto Liria |
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Institution: | (1) Shanghai Astronomical Observatory, Chinese Academy of Sinica; National Astronomical Observatories, Chinese Academy of Sinica, 80 Nandan Road, Shanghai, 200030, P.R. China |
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Abstract: | Recently, Feng-Jeng (Qual Quant 42:417–426, 2008) has proposed the nested estimation procedure as another alternative from
the practical point of view of the problem of multicollinearity. Although the nested estimation procedure can promise to avoid
multicollinearity, it can also avoid important information by eliminating variables. We are presenting another alternative
called the raise method, which keeps all the information which could be highly recommended in some cases. We apply our proposal
to a known example and compare the results with the nested estimation procedure, the ridge regression and the principal components. |
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Keywords: | |
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