Abstract

Seemingly unrelated regression (SUR) models were applied when several linear regression equations were investigated at the same time. To reduce the multicollinearity influence in the SUR models, the one-parameter ridge (Ridge-1) solution was proposed and discussed by some researchers. As a generalization of the Ridge-1 solution, in the context of SUR models having multicollinearity problem, the two-parameter ridge (Ridge-2) solution was presented. Some simulations were performed to compare the proposed solution with the ordinary generalized least squares (GLS) and Ridge-1 solutions. Lastly, the proposed solution was applied on chronic renal failure effect data.

摘要

当同时研究几个线性回归方程时，应用了看似无关的回归 (SUR) 模型。为了减少 SUR 模型中的多重共线性影响，一些研究人员提出并讨论了单参数岭（Ridge-1）解。作为 Ridge-1 解的推广，在 SUR 模型存在多重共线性问题的情况下，提出了双参数岭 (Ridge-2) 解。进行了一些模拟以将所提出的解决方案与普通的广义最小二乘 (GLS) 和 Ridge-1 解决方案进行比较。最后，将提出的解决方案应用于慢性肾功能衰竭效应数据。