Small sample properties of a ridge regression estimator when there exist omitted variables

DOI10.1007/s00362-009-0303-zzbMath1229.62094MaRDI QIDQ657077

Ryo Uemukai

Publication date: 13 January 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0303-z

zbMATH Keywords

omitted variables; mean squared error (MSE)

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

Related Items

MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated, r-d Class Estimator Under Misspecification

Cites Work

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