A Note on the UEK Method
A Note on the UEK Method
Author(s): Anna PajorSubject(s): Micro-Economics, Financial Markets, Socio-Economic Research
Published by: Akademia Zamojska
Keywords: linear regression; MP-inverse matrix; UEK method;
Summary/Abstract: The paper concerns certain pitfalls of using the Moore-Penrose pseudoinverse for estimating regression coefficients in linear regression models when the matrix of explanatory variables does not have full column rank. The aim of the paper is to show that in this case, the estimator of parameters based on the Moore-Penrose pseudoinverse is biased, and the bias leads to biased forecasts.
Journal: Barometr Regionalny. Analizy i Prognozy
- Issue Year: 15/2017
- Issue No: 3
- Page Range: 7-10
- Page Count: 4
- Language: English
