Despite that interaction terms are standard tools of regression analysis, the side effects of the inclusion of these terms in models estimated by ordinary least squares (OLS) are yet not fully penetrated. The inclusion of interaction effects induces multicollinearity problems since all non-zero...

In ridge regression the estimation of the ridge parameter is an important issue. This paper generalizes some methods for estimating the ridge parameter for probit ridge regression (PRR) model based on the work of Kibria et al. (2011). The performance of these new estimators are judged by...

This paper analyzes and compares the properties of the most commonly applied versions of the Granger causality (GC) test to a new ridge regression GC test (RRGC), in the presence of multicollinearity. The investigation has been carried out using Monte Carlo simulations. A large number of models...