Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations |
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| Authors: | Luis Firinguetti Hernán Rubio |
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| Affiliation: | 1. Departamento de Matemática , Universidad del Bío Bío , Concepción, Chile lfiringu@ubiobio.cl;3. Departamento de Cuentas Nacionales , Banco Central de Chile , Santiago, Chile |
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| Abstract: | A discussion is made of asymptotic properties of an Operational Ordinary Ridge Regression estimator and comparison is made with the Operational Generalized Least Squares estimator. Also, some simulation experiments are carried showing efficiency gains can be made through the use of de Ridge estimator. |
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| Keywords: | Asymptotic properties Ridge regression Seemingly unrelated regression equations |
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