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arXiv · 1803.04839

Optimal estimators in misspecified linear regression model with an application to real-world data

Manickavasagar Kayanan·Pushpakanthie Wijekoon
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Abstract

In this article, we propose the Sample Information Optimal Estimator (SIOE) and the Stochastic Restricted Optimal Estimator (SROE) for misspecified linear regression model when multicollinearity exists among explanatory variables. Further, we obtain the superiority conditions of proposed estimators over some other existing estimators in the Mean Square Error Matrix (MSEM) criterion in a standard form which can apply to all estimators considered in this study. Finally, a real world example and a Monte Carlo simulation study are presented for the proposed estimators to illustrate the theoretical results.

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Manickavasagar Kayanan, Pushpakanthie Wijekoon. 2018-03-11. Optimal estimators in misspecified linear regression model with an application to real-world data. https://doi.org/10.1080/23737484.2018.1536863

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