Optimal Estimators in Misspecified Linear Regression Model

03/11/2018

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by   Manickavasagar Kayanan, et al.

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In this article, we propose the Sample Information Optimal Estimator (SIOE) and the Stochastic Restricted Optimal Estimator (SROE) for misspecified linear regression model when multicollinearity exists among explanatory variables. Further, we obtain the superiority conditions of proposed estimators over some other existing estimators in the Mean Square Error Matrix (MSEM) criterion in a standard form which can apply to all estimators considered in this study. Finally, a numerical example and a Monte Carlo simulation study are presented for the proposed estimators to illustrate the theoretical results.