A generalized ridge regression estimator and its finite sample properties

Firinguetti, Luis. Instituto de Matemáticas y Física, Universidad de Talca, Casilla, Talca, ChileAbstract A new operational Generalized Ridge Regression (GRR) estimator is presented which is characterized by a new procedure to estimate the shrinkage parameters. Compared with the usual operational GRR estimator, the one proposed here enjoys the advantage that its shrinkage parameters are bounded. The finite sample properties of the resulting GRR estimator are derived in the context of the Classical Linear Regression Model with normally distributed disturbance

Ridge regression and principal components regression Some finite sample results and extensions

SIGLELD:D45325/83 / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Pension reform and low paid workers

Report also numbered Economics paper no. 13Available from British Library Document Supply Centre-DSC:9350.957(1994/9) / BLDSC - British Library Document Supply CentreSIGLEGBUnited Kingdo