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Gecikmesi Dağıtılmış Modellerde Yanlı Tahmin Ediciler

Year 2012, Volume: 9 Issue: 1, 1 - 10, 13.07.2012

Abstract

Gecikmesi sonlu dağıtılmış modeller, aynı değişkenin gecikmeli ve gecikmesiz değerlerine sahip olduğundan sık sık yüksek ilişkili değişkenlere sahip olurlar. Bu modellere En Küçük Kareler (EKK) Yöntemi uygulandığında bazı sorunlarla karşılaşılır. Bu sorunları çözmek için de Almon ve Koyck Modeli gibi modeller önerilmiştir. Bu çalışmada, regresyon analizinde çoklu iç ilişki problemini çözmek için EKK'ya alternatif olarak tanımlanmış Ridge ve Liu tipi tahmin ediciler gibi yanlı tahmin edicilerin Almon metodu ile kombinasyonları ele alınarak alternatif metotların verilmesi amaçlanmıştır. Ayrıca tanımlanan metodlar Almon (1965) verisi kullanılarak karşılaştırılmıştır.

References

  • Akdeniz, F. and Kaçıranlar, S . 1995. On the Almost Unbiased Generalized Liu Estimator and Unbiased Estirnation of the Bias and mse. Communications in Statistics Theory and Methods. 24 (7). 1789-1797.
  • Almon, S.. 1965. The Distributed Lag between Capital Appropriations and Expenditures. Econometrica. Vol 30. 96- 178.
  • Chanda, A. K., and Maddala. G. S., 1984. Ridge Estimators for Distributed Lag Models. Communications in Statistics - Theory and Methods. Vol 13. Issue 2. 217-225.
  • Farebrother, R. W., 1976. Further Results on the Mean Square Error of Ridge Regression. Journal of the Royal Statistical Society. Series B (Methodological) 38(3):248-250.
  • Fisher, I., 1937. Income in Theory and İncome Taxation Practice. Econometrica. 5, 1-55.
  • GroB. J., 2003. Restricted Ridge Estimation. Stat. Prob. Lett. 65. 57-64.
  • Gujarati, D. N., 1999. Temel Ekonometri. (Çev.Ü. Şenesen, G. G. Şenesen). Literatür Yayıncılık.
  • Hoerl, A. E., and Kennard., R. W., 1970. Ridge Regression: Biased Estirnation for Non - Orthogonal Problems. Technometrics 12, 69-82.
  • Lindly, D. V., and Smith. A. F. M., 1972. Bayes Estimates for the Linear Model, Journal of the Royal Statistical Society, B Series. 1-41.
  • Liu, K., 1993. A New Class of Biased Estimate in Linear Regression, Commun. in Statistics - Theory and Methods, 22(2). 393-402.
  • Maddala, G. S., 1974. Ridge Estimator for Distributed Lag Models, NBER Working Paper Series. no:69.
  • Özkale. M. R., and Kaçıranlar, S, 2007. The Restricted and Unrestricted Two Parameter Estimators, Communications in Statistics Theory and Methods, Vol 36(15), 2707-2725.
  • Sakallıoğlu, S., Kaçıranlar, S., and Akdeniz, F., 1996. A Note on Combining Ridge and Least Squares Estimator, Journal of Institute of Mathematics and Computer Science (Math. Series), Vol. 9. No. 2, 193-198.
  • Teravista, T., 1976. A Note on Bias in Almon Distributed Lag Estimators, Econometrica, 1317-1322.
  • Vinod, H. D., and Ullah, A., 1981. Recent Advances in Regression Methods, Marcel Dekker, New York.
  • Yeo, S. J., and Trivedi, P. K., 1989. On Using Ridge - Type Estimators for a Distributed Lag Model, Oxford Bulletin of Economics and Statistics, Vol 51, Issue 1,85-90.

Biased Estimators for Distributed Lag Models

Year 2012, Volume: 9 Issue: 1, 1 - 10, 13.07.2012

Abstract

The finite distributed lag models often include highly correlated variables since they have lagged and unlagged values of the same variable. Some problems are faced when the ordinary least squares (OLS) method is applied to these models. Models such as Koyck and Almon models, have been suggested to tackle these problems. In this study, providing alternative methods are aimed by introducing the combinations of Almon method with biased estimators such as Ridge and the Liu type estimators, which are alternatives to OLS defined for solving multicollinearity problem. Morover, these defined methods are compared by using Almon(1965) data.

References

  • Akdeniz, F. and Kaçıranlar, S . 1995. On the Almost Unbiased Generalized Liu Estimator and Unbiased Estirnation of the Bias and mse. Communications in Statistics Theory and Methods. 24 (7). 1789-1797.
  • Almon, S.. 1965. The Distributed Lag between Capital Appropriations and Expenditures. Econometrica. Vol 30. 96- 178.
  • Chanda, A. K., and Maddala. G. S., 1984. Ridge Estimators for Distributed Lag Models. Communications in Statistics - Theory and Methods. Vol 13. Issue 2. 217-225.
  • Farebrother, R. W., 1976. Further Results on the Mean Square Error of Ridge Regression. Journal of the Royal Statistical Society. Series B (Methodological) 38(3):248-250.
  • Fisher, I., 1937. Income in Theory and İncome Taxation Practice. Econometrica. 5, 1-55.
  • GroB. J., 2003. Restricted Ridge Estimation. Stat. Prob. Lett. 65. 57-64.
  • Gujarati, D. N., 1999. Temel Ekonometri. (Çev.Ü. Şenesen, G. G. Şenesen). Literatür Yayıncılık.
  • Hoerl, A. E., and Kennard., R. W., 1970. Ridge Regression: Biased Estirnation for Non - Orthogonal Problems. Technometrics 12, 69-82.
  • Lindly, D. V., and Smith. A. F. M., 1972. Bayes Estimates for the Linear Model, Journal of the Royal Statistical Society, B Series. 1-41.
  • Liu, K., 1993. A New Class of Biased Estimate in Linear Regression, Commun. in Statistics - Theory and Methods, 22(2). 393-402.
  • Maddala, G. S., 1974. Ridge Estimator for Distributed Lag Models, NBER Working Paper Series. no:69.
  • Özkale. M. R., and Kaçıranlar, S, 2007. The Restricted and Unrestricted Two Parameter Estimators, Communications in Statistics Theory and Methods, Vol 36(15), 2707-2725.
  • Sakallıoğlu, S., Kaçıranlar, S., and Akdeniz, F., 1996. A Note on Combining Ridge and Least Squares Estimator, Journal of Institute of Mathematics and Computer Science (Math. Series), Vol. 9. No. 2, 193-198.
  • Teravista, T., 1976. A Note on Bias in Almon Distributed Lag Estimators, Econometrica, 1317-1322.
  • Vinod, H. D., and Ullah, A., 1981. Recent Advances in Regression Methods, Marcel Dekker, New York.
  • Yeo, S. J., and Trivedi, P. K., 1989. On Using Ridge - Type Estimators for a Distributed Lag Model, Oxford Bulletin of Economics and Statistics, Vol 51, Issue 1,85-90.
There are 16 citations in total.

Details

Primary Language Turkish
Subjects Statistics
Journal Section Research Articles
Authors

Selahattin Kaçıranlar This is me

Publication Date July 13, 2012
Published in Issue Year 2012 Volume: 9 Issue: 1

Cite

APA Kaçıranlar, S. (2012). Gecikmesi Dağıtılmış Modellerde Yanlı Tahmin Ediciler. İstatistik Araştırma Dergisi, 9(1), 1-10.