Two methods of evaluating hoerl and kennard's ridge regression |
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Authors: | P.A.V.B. Swamy J.S. Mehta P.N. Rappoport |
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Affiliation: | Federal Reserve Board , Temple University, and Temple University |
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Abstract: | We formulate a modified version of the Hoerl-Kennard ridge regression method to solve the problem of estimating coefficients in economic relationships. We investigate two approaches for determining the biasing parameter One approach utilizes prior information in choosing jr, the other approach estimates y from the sample data. Monte Carlo experiments are used to evaluate the relative efficiencies of alternative ridge estimators. |
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Keywords: | priori information Monte Carlo biased structural equation |
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