Some asymptotic properties of Ridge Regression in a system of seemingly unrelated regression equations

被引：6

作者：

Firinguetti, Luis ^{[1
]}

Rubio, Hernan ^{[2
]}

机构：

[1] Univ Bio Bio, Fac Ciencias, Dept Matemat, Concepcion, Chile

[2] Banco Cent Chile, Dept Cuentas Nacl, Santiago, Chile

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2008年 / 37卷 / 15期

关键词：

asymptotic properties; Ridge regression; seemingly unrelated regression equations;

D O I：

10.1080/03610920801931853

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A discussion is made of asymptotic properties of an Operational Ordinary Ridge Regression estimator and comparison is made with the Operational Generalized Least Squares estimator. Also, some simulation experiments are carried showing efficiency gains can be made through the use of de Ridge estimator.

引用

页码：2433 / 2446

页数：14

共 18 条

[1]

BAKSALARY K, 1989, ECONOMET THEOR, V5, P463

[2]

Baltagi B., 1988, ECONOMET THEOR, V4, P536

[3] A SIMPLE CHARACTERIZATION OF SEEMINGLY UNRELATED REGRESSIONS MODELS IN WHICH OLS IS BLUE [J].

BARTELS, R ;

FIEBIG, DG .

AMERICAN STATISTICIAN, 1991, 45 (02) :137-140

[4] A NOTE ON THE EFFICIENCY OF SEEMINGLY UNRELATED REGRESSION [J].

BINKLEY, JK ;

NELSON, CH .

AMERICAN STATISTICIAN, 1988, 42 (02) :137-139

[5] THE EFFECT OF VARIABLE CORRELATION ON THE EFFICIENCY OF SEEMINGLY UNRELATED REGRESSION IN A 2-EQUATION MODEL [J].

BINKLEY, JK .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1982, 77 (380) :890-895

[6]

DWIVEDI TD, 1978, J ECONOMETRICS, V7, P391, DOI DOI 10.1016/0304-4076(78)90062-3

[7] Ridge regression in the context of a system of seemingly unrelated regression equations [J].

Firinguetti, L .

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 1997, 56 (02) :145-162

[8] SUFFICIENT LINEAR STRUCTURES - ECONOMETRIC APPLICATIONS [J].

GOURIEROUX, C ;

MONFORT, A .

ECONOMETRICA, 1980, 48 (05) :1083-1097

[9]

HOERL A, 2000, TECHNOMETRICS, V42, P105

[10]

KAKWANI NC, 1967, J AM STAT ASSOC, V62, P141

← 1 2 →