Employment method lasso and rlasso to check the stability of multiple linear regression model
DOI:
https://doi.org/10.31272/jae.i149.1389Keywords:
Multicollinearity problemAbstract
The instability of regression models is one of the most prominent issues facing researchers when estimating the model. On the other hand, regularization techniques (lasso and rlasso) are some of the most prominent techniques applied in the estimation of multiple regression models because of their ability to reach an explanatory regression model through which accurate predictions can be made. In this research, the simulation method was applied to conduct a comparison between a set of regression models estimated using the two regularization techniques (lasso & rlasso), where the Chow Test & CUSUM Test were used to test the stability of the estimated models and the presence of multicollinearity, and the results showed that both techniques had excellent performance in building a stable regression model, and the results showed the superiority of the rlasso technique, especially in the presence of multicollinearity.
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