Average group effect of strongly correlated predictor variables is estimable

Autor:	Tsao, Min
Rok vydání:	2018
Předmět:	Mathematics - Statistics Theory 62J05
Druh dokumentu:	Working Paper
Popis:	It is well known that individual parameters of strongly correlated predictor variables in a linear model cannot be accurately estimated by the least squares regression due to multicollinearity generated by such variables. Surprisingly, an average of these parameters can be extremely accurately estimated. We find this average and briefly discuss its applications in the least squares regression. Comment: I would like to withdraw this paper because results of this paper have been improved and included in a larger paper posted on arXiv (1804.02499). This paper is out of date. It should no longer be a stand-alone paper in the literature
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1810.09564 Zobrazit plný text záznamu View this record from Arxiv