New difference-based estimator of parameters in semiparametric regression models

The paper introduces a new difference-based Liu estimator βˆLdiff=(Xtilde′Xtilde+I)−1(Xtilde′ytilde+η βˆdiff) of the regression parameters β in the semiparametric regression model, y=Xβ+f+ϵ. Difference-based estimator, βˆdiff=(Xtilde′Xtilde)−1Xtilde′ytilde and difference-based Liu estimator are analysed and compared with respect to mean-squared error (mse) criterion. Finally, the performance of the new estimator is evaluated for a real data set. Monte Carlo simulation is given to show the improvement in the scalar mse of the estimator.