Multicollinearity and maximum entropy leuven estimator

Multicollinearity is a serious problem in applied regression analysis. Q. Paris (2001) introduced the MEL estimator to resolve the multicollinearity problem. This paper improves the MEL estimator to the Modular MEL (MMEL) estimator and shows by Monte Carlo experiments that MMEL estimator performs significantly better than OLS as well as MEL estimators.

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Year of publication:	2004-07-15
Authors:	Mishra, Sudhanshu
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2004, 25, p. 1-11
Publisher:	AccessEcon
Subject:	maximum entropy

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010836271