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| Title: | A generalized ridge regression estimator and its finite sample properties |
| Authors: | Firinguetti, L. |
| Keywords: | collinearity; ridge regression; finite sample moments |
| Issue Date: | 1999 |
| Publisher: | Taylor & Francis Ltd. |
| Citation: | Communications in Statistics - Theory and Methods 28 (5): 1217 - 1229 |
| Abstract: | Abstract
A new operational Generalized Ridge Regression (GRR) estimator is presented which is characterized by a new procedure to estimate the shrinkage parameters. Compared with the usual operational GRR estimator, the one proposed here enjoys the advantage that its shrinkage parameters are bounded. The finite sample properties of the resulting GRR estimator are derived in the context of the Classical Linear Regression Model with normally distributed disturbances |
| Description: | Firinguetti, Luis. Instituto de Matemáticas y Física, Universidad de Talca, Casilla, Talca, Chile |
| URI: | http://dspace.utalca.cl/handle/1950/4517 |
| ISSN: | 0361-0926 |
| Appears in Collections: | Artículos en publicaciones ISI - Universidad de Talca
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