Journal
QUALITY & QUANTITY
Volume 45, Issue 2, Pages 403-423Publisher
SPRINGER
DOI: 10.1007/s11135-009-9305-0
Keywords
Multicollinearity; Nested estimate procedure; Raise method
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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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