Small sample properties of ridge estimators with normal and non-normal disturbances

DOI10.1080/03610919008812899zbMath0850.62280OpenAlexW2056371774MaRDI QIDQ4019207

George Michailidis, George S. Donatos

Publication date: 16 January 1993

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610919008812899

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Point estimation (62F10) Monte Carlo methods (65C05)

Related Items (2)

Adaptive unified biased estimators of parameters in linear model ⋮ A Monte Carlo study of some limited and full information simultaneous equation estimators with normal and nonnormal autocorrelated disturbances

Cites Work

• Econometric modelling with nonnormal disturbances
• The moments of OLS and 2SLS when the disturbances are non-normal
• The exact moments of OLS in dynamic regression models with non-normal errors
• The extended Stein procedure for simultaneous model selection and parameter estimation
• Properties of shrinkage estimators in linear regression when disturbances are not normal
• The Structure of Simultaneous Equation Estimators: A Generalization Towards Nonnormal Disturbances
• A Simulation of Biased Estimation and Subset Selection Regression Techniques
• Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume
• Ridge regression:some simulations
• A Monte Carlo Evaluation of Some Ridge-Type Estimators
• Ridge regression iterative estimation of the biasing parameter
• A simulation study of ridge and other regression estimators
• Ridge and related estimation procedures: theory and practice

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