IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

A Note on The Moments of Stochastic Shrinkage Parameters in Ridge Regression

Listed author(s):
  • Luis Firinguetti
  • Hernán Rubio
Registered author(s):

    A common problem in econometric models and multiple regression in general is multicollinearity, which produces undesirable effects on the Least Squares estimators. A possible solution to this problem is the "Ridge" Regression estimator proposed by Hoerl and Kennard (1970). Ridge Regression has been applied to such diverse areas as economics, marketing and the calibration of instruments in industrial processes. However, the properties of these estimators crucially depend upon the selection of certain biasing parameters which are stochastic. In this regard several proposals have been made and the purpose of this paper is to derive general expressions for the moments of the stochastic biasing parameters. With this knowledge we expect to stablish conditions under which a Ridge Regression estimator is better than others.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 65.

    in new window

    Date of creation: Mar 2000
    Handle: RePEc:chb:bcchwp:65
    Contact details of provider: Postal:
    Casilla No967, Santiago

    Phone: (562) 670 2000
    Fax: (562) 698 4847
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:chb:bcchwp:65. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Sepulveda)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.