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A Liu estimator for the beta regression model and its application to chemical data
Department of Economics and Statistics, Linneaus University, Växjö, Sweden.
Jönköping University, Jönköping International Business School, JIBS, Statistics. Department of Economics and Statistics, Linneaus University, Växjö, Sweden.ORCID iD: 0000-0002-4535-3630
Department of Mathematics and Statistics, Florida International University, Miami, FL, United States.
2020 (English)In: Journal of Chemometrics, ISSN 0886-9383, E-ISSN 1099-128X, Vol. 34, no 10, article id e3300Article in journal (Refereed) Published
Abstract [en]

Beta regression has become a popular tool for performing regression analysis on chemical, environmental, or biological data in which the dependent variable is restricted to the interval [0, 1]. For the first time, in this paper, we propose a Liu estimator for the beta regression model with fixed dispersion parameter that may be used in several realistic situations when the degree of correlation among the regressors differs. First, we show analytically that the new estimator outperforms the maximum likelihood estimator (MLE) using the mean square error (MSE) criteria. Second, using a 'simulation study, we investigate the properties in finite samples of six different suggested estimators of the shrinkage parameter and compare it with the MLE. The simulation results indicate that in the presence of multicollinearity, the Liu estimator outperforms the MLE uniformly. Finally, using an empirical application on chemical data, we show the benefit of the new approach to applied researchers.

Place, publisher, year, edition, pages
John Wiley & Sons, 2020. Vol. 34, no 10, article id e3300
Keywords [en]
beta regression, Liu estimator, Monte Carlo methods, multicollinearity, relative MSE
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:hj:diva-50614DOI: 10.1002/cem.3300ISI: 000566740600001Scopus ID: 2-s2.0-85090311782Local ID: HOA;intsam;1466957OAI: oai:DiVA.org:hj-50614DiVA, id: diva2:1466957
Available from: 2020-09-14 Created: 2020-09-14 Last updated: 2021-02-25Bibliographically approved

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Månsson, Kristofer

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