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A Note on the Computation of the Correct Estimated Covariance Matrix for a Ridge Regression Shortcut

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Author Info
Power, Simon
Bishopp, William

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Abstract

This paper provides simple computational procedures for the calculation of the correct estimated covariance ma trix and associated standard errors for a commonly used regression sh ortcut, whereby ridge-regression estimates are obtained via an augmen ted ordinary least squares regression. Copyright 1987 by Blackwell Publishing Ltd

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Publisher Info
Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 49 (1987)
Issue (Month): 3 (August)
Pages: 343-45
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Handle: RePEc:bla:obuest:v:49:y:1987:i:3:p:343-45

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049

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