El problema de un tamaño muestral pequeño en la regresión lineal: Micronumerosidad

Abstract

The econometrician Arthur Goldberg introduced the notion of micronumerosity motivating that classical Econometrics textbooks used to explain the problem of multicollinearity but nothing is explain about the analogous problem of estimating using an small size sample. Then, micronumerosity refers to multicollinearity because of small samples. Since its origins are very particular, its treatment should also be specific. In this paper we obviate standard multicollinearity solutions and we propose a new scheme based on the specific charasteristics of the problem.