New difference-based estimator of parameters in semiparametric regression models

摘要

The paper introduces a new difference-based Liu estimator β_(Ldiff)= (X'X + I)~(-1)(X'y +ηβ_(diff)) of the regression parameters β in the semiparametric regression model, y = Xβ +f +ε. Difference-based estimator, β_(diff) = (X'X)~(-1)X'y and difference-based Liu estimator are analysed and compared with respect to mean-squared error (mse) criterion. Finally, the performance of the new estimator is evaluated for a real data set. Monte Carlo simulation is given to show the improvement in the scalar mse of the estimator.