Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations

DOI10.1080/03610920801931853zbMath1143.62333MaRDI QIDQ3526091

Hernán Rubio, Luis Firinguetti

Publication date: 24 September 2008

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920801931853

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

Two-parameter ridge estimation in seemingly unrelated regression models, On seemingly unrelated regressions with uniform correlation error, A Monte Carlo study on the ridge parameter of the seemingly unrelated ridge regression models

Cites Work

• Optimality of least squares in the seemingly unrelated regression equation model
• Sufficient Linear Structures: Econometric Applications
• The efficiency of least squares estimators of a seemingly unrelated regression model
• Ridge regression in the context of a system of seemingly unrelated regression equations
• Some Finite Sample Results in the Context of Two Seemingly Unrelated Regression Equations
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias