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The Exact Mse—Efficiency Of The General Ridge Estimator Relative To Ols

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  • Teekens, R.
  • de Boer, P. M. C.

Abstract

In this paper it has been pointed out that the merits of the Ridge procedure as proposed by Hoerl and Kennard tend to be overvalued due to an incorrect analysis of the associated Mean Square Error. For the case of the so-called General Ridge Estimator it is then shown how the exact MSE can be derived and finally it is seen that General Ridge Estimator dominates the OLS estimator .only in a limited interval of the parameter space.

Suggested Citation

  • Teekens, R. & de Boer, P. M. C., 1977. "The Exact Mse—Efficiency Of The General Ridge Estimator Relative To Ols," Econometric Institute Archives 272142, Erasmus University Rotterdam.
    • Handle: RePEc:ags:eureia:272142
    DOI: 10.22004/ag.econ.272142
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    References listed on IDEAS

    as
    1. Feldstein, Martin S, 1973. "Multicollinearity and the Mean Square Error of Alternative Estimators," Econometrica, Econometric Society, vol. 41(2), pages 337-346, March.
    2. Vinod, H. D., 1976. "Canonical ridge and econometrics of joint production," Journal of Econometrics, Elsevier, vol. 4(2), pages 147-166, May.
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    Cited by:

    1. van Doeland, F., 1977. "A New Diskz And A New Coldstart For The Ibm 1130 Computing System," Econometric Institute Archives 272159, Erasmus University Rotterdam.
    2. Paul M. C. de Boer & Christian M. Hafner, 2005. "Ridge regression revisited," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(4), pages 498-505, November.

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