Ridge regression in the context of a system of seemingly unrelated regression equations

DOI10.1080/00949659708811785zbMath0872.62074OpenAlexW2010781228MaRDI QIDQ4347032

Luis Firinguetti

Publication date: 5 August 1997

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659708811785

zbMATH Keywords

Monte Carlo studymulticollinearityridge regression estimatorsoperational generalized least squares estimatorseemingly unrelated regression equations

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Seemingly unrelated regressions with covariance matrix of cross-equation ridge regression residuals ⋮ Two-parameter ridge estimation in seemingly unrelated regression models ⋮ Modified Ridge Parameters for Seemingly Unrelated Regression Model ⋮ MSE Performance of a Heterogeneous Pre-Test Ridge Regression Estimator ⋮ A Monte Carlo study on the ridge parameter of the seemingly unrelated ridge regression models ⋮ On The Least Absolute Deviations Method for Ridge Estimation of Sure Models ⋮ Two-stage method based on local polynomial fitting for a linear heteroscedastic regression model and its application in economics ⋮ Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations ⋮ Risk performance of a pre-test ridge regression estimator under the LINEX loss function when each individual regression coefficient is estimated ⋮ Developing Ridge Parameters for SUR Model ⋮ WEIGHT LAD AND WEIGHT LAD RIDGE ESTIMATOR FOR SEEMINGLY UNRELATED REGRESSION MODELS ⋮ MODIFICATION OF LIU-TYPE ESTIMATOR FOR TWO SUR MODEL

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