Distribution and density functions of the feasible generalized ridge regression estimator |
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| Authors: | Kazuhiro Ohtani |
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| Affiliation: | Faculty of Economics , Kobe University , Nada-ku, Kobe, 657, Japan |
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| Abstract: | In this paper, we derive the distribution and density functions of the feasible generalized ridge regression (GRR) estimator. It is shown that when the absolute value of a regression coefficient is close to zero, the distribution of the feasible GRR estimator is bimodal and has thinner tails than that of the OLS estimator. |
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| Keywords: | density function distribution function generalized ridge regression |
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