Ridge Type Shrinkage Estimation of Seemingly Unrelated Regressions And Analytics of Economic and Financial Data from Fragile Five Countries

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dc.authoridYuzbasi, Bahadir/0000-0002-6196-3201
dc.authorwosidAhmed, Syed/GSN-7305-2022
dc.authorwosidYuzbasi, Bahadir/F-6907-2013
dc.contributor.authorYuzbasi, Bahadir
dc.contributor.authorAhmed, S. Ejaz
dc.date.accessioned2024-08-04T20:51:57Z
dc.date.available2024-08-04T20:51:57Z
dc.date.issued2020
dc.departmentİnönü Üniversitesien_US
dc.description.abstractIn this paper, we suggest improved estimation strategies based on preliminarily test and shrinkage principles in a seemingly unrelated regression model when explanatory variables are affected by multicollinearity. To that end, we split the vector regression coefficient of each equation into two parts: one includes the coefficient vector for the main effects, and the other is a vector for nuisance effects, which could be close to zero. Therefore, two competing models per equation of the system regression model are obtained: one includes all the regression of coefficients (full model); the other (sub model) includes only the coefficients of the main effects based on the auxiliary information. The preliminarily test estimation improves the estimation procedure if there is evidence that the vector of nuisance parameters does not provide a useful contribution to the model. The shrinkage estimation method shrinks the full model estimator in the direction of the sub-model estimator. We conduct a Monte Carlo simulation study in order to examine the relative performance of the suggested estimation strategies. More importantly, we apply our methodology based on the preliminarily test and the shrinkage estimations to analyse economic data by investigating the relationship between foreign direct investment and several economic variables in the Fragile Five countries between 1983 and 2018.en_US
dc.description.sponsorshipNatural Sciences and the Engineering Research Council of Canada (NSERC)en_US
dc.description.sponsorshipThe research of S. Ejaz Ahmed is supported by the Natural Sciences and the Engineering Research Council of Canada (NSERC).en_US
dc.identifier.doi10.3390/jrfm13060131
dc.identifier.issn1911-8066
dc.identifier.issn1911-8074
dc.identifier.issue6en_US
dc.identifier.scopus2-s2.0-85130491557en_US
dc.identifier.scopusqualityQ3en_US
dc.identifier.urihttps://doi.org/10.3390/jrfm13060131
dc.identifier.urihttps://hdl.handle.net/11616/100663
dc.identifier.volume13en_US
dc.identifier.wosWOS:000551232500014en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherMdpien_US
dc.relation.ispartofJournal of Risk and Financial Managementen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectshrinkage estimatoren_US
dc.subjectseemingly unrelated regression modelen_US
dc.subjectmulticollinearityen_US
dc.subjectridge regressionen_US
dc.titleRidge Type Shrinkage Estimation of Seemingly Unrelated Regressions And Analytics of Economic and Financial Data from Fragile Five Countriesen_US
dc.typeArticleen_US

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