Effects of collinearity on information about regression coefficients

DOI10.1016/0304-4076(90)90120-IzbMath0691.62060MaRDI QIDQ582782

Ehsan S. Soofi

Publication date: 1990

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

posterior distributionsample informationair pollution datacollinearity measurescross-entropy analyseseffects of nonorthogonalityEntropy differenceleast squares regressionsposterior informationreduction of collinearity effects

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Statistical aspects of information-theoretic topics (62B10)

Related Items (7)

A Bayesian approach to diagnosis of asset pricing models ⋮ Entropy, divergence and distance measures with econometric applications ⋮ On the sample information about parameter and prediction ⋮ Principal component regression under exchangeability ⋮ A VIF-based optimization model to alleviate collinearity problems in multiple linear regression ⋮ An information criterion for normal regression estimation ⋮ Information indices: Unification and applications.

Cites Work

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• Prior Probabilities
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Generalized Inverses, Ridge Regression, Biased Linear Estimation, and Nonlinear Estimation
• Linear Statistical Inference and its Applications
• On Information and Sufficiency
• An invariant form for the prior probability in estimation problems

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