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

DOI10.1007/S00362-009-0303-ZzbMATH Open1229.62094OpenAlexW1972133180MaRDI QIDQ657077FDOQ657077

Authors: 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

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zbMATH Keywords

omitted variablesmean squared error (MSE)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• A Simulation Study of Some Ridge Estimators
• Ridge regression:some simulations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Error misspecification and properties of the simple ridge estimator
• Finite Sample Properties of Ridge Estimators
• A simulation study of ridge and other regression estimators
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
• A note on general ridge estimator
• A Confidence Bound Approach to Choosing the Biasing Parameter in Ridge Regression
• Title not available (Why is that?)
• On the Mean Square Error of Parameter Estimates for Some Biased Estimators
• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
• A note on ridge regression

Cited In (6)

• MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated
• Testing omitted variables in VARs
• \(r\)-\(d\) class estimator under misspecification
• On exact small sample properties of ordinary ridge estimators
• Exact moments of lawless and wang's operational ridge regression estimator
• The exact general formulas for the moments of a ridge regression estimator when the regression error terms follow a multivariate \(t\) distribution

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