Some theoretical results for generalized ridge regression estimators

DOI10.1016/0304-4076(84)90046-0MaRDI QIDQ1069246zbMATH OpenOpenAlexFDO

Authors J. Pradel, Claude Fourgeaud, Christian Gouriéroux

Publication date 1984

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://www.cepremap.fr/depot/couv_orange/co8207.pdf

zbMATH Keywords

confidence regionsOLS estimatorsoptimalityordinary least squares estimatorsridge regression estimatorstransformed explanatory variables

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

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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Cites work

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• scientific article; zbMATH DE number 3657002 (Why is no real title available?)
• scientific article; zbMATH DE number 3443026 (Why is no real title available?)
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• Ridge Regression: Biased Estimation for Nonorthogonal Problems

Cited in

(12)

• On generalized ridge regression estimators under collinearity and balanced loss
• scientific article; zbMATH DE number 5811354 (Why is no real title available?)
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• Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations
• A generalized diagonal ridge estimator
• scientific article; zbMATH DE number 3963013 (Why is no real title available?)
• Bounds of the F-ratio incorporating the ordinary ridge regression estimator
• scientific article; zbMATH DE number 4076367 (Why is no real title available?)
• A generalized ridge regression estimator and its finite sample properties
• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
• Geometry and properties of generalized ridge regression in high dimensions
• A further theoretical result for generalized ridge regression estimators

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