Some theoretical results for generalized ridge regression estimators (Q1069246)
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English | Some theoretical results for generalized ridge regression estimators |
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Some theoretical results for generalized ridge regression estimators (English)
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1984
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We examine some interpretations and theoretical properties of the ridge regression estimators. As such we (i) interpret the GRR estimator as an OLS one based on transformed explanatory variables; (ii) compare the GRR and OLS estimators using the confidence regions; (iii) prove the optimality of the OLS estimator for estimating the signs of the parameters; and (iv) compare the necessary and sufficient condition for the transformed explanatory variables to be less collinear than the initial ones with the condition for improving the OLS estimator.
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ordinary least squares estimators
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ridge regression estimators
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transformed explanatory variables
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OLS estimators
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confidence regions
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optimality
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