Error misspecification and properties of the simple ridge estimator |
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| Authors: | BMS Lee PK Trivedl |
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| Institution: | 1. Bureau of Agricultural Economics , Canberra, Australia;2. Australian National University , Canberra, Australia |
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| Abstract: | This paper gives necessary and sufficient conditions for the ridge estimator applied to an error misspecified regression model to dominate the generalised least squares estimator. It is shown that the requirements for mean square error dominance are more stringent than in the correct specification case. |
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| Keywords: | generalised least squares mean square error dominanee ridge regression |
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