Small sample properties of a ridge regression estimator when there exist omitted variables

DOI10.1007/s00362-009-0303-zzbMath1229.62094OpenAlexW1972133180MaRDI QIDQ657077

Ryo Uemukai

Publication date: 13 January 2012

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-009-0303-z

zbMATH Keywords

omitted variablesmean squared error (MSE)

Mathematics Subject Classification ID

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

Related Items (2)

r-d Class Estimator Under Misspecification ⋮ MSE dominance of the positive-part shrinkage estimator when each individual regression coefficient is estimated

Cites Work

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• A note on ridge regression
• Improving the estimation precision for a selected parameter in multiple regression analysis: An algebraic approach
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• A Simulation Study of Some Ridge Estimators
• A Confidence Bound Approach to Choosing the Biasing Parameter in Ridge Regression
• Ridge regression:some simulations
• A simulation study of ridge and other regression estimators
• Error misspecification and properties of the simple ridge estimator
• On the Mean Square Error of Parameter Estimates for Some Biased Estimators
• The general expressions for the moments of lawless and wang's ordinary ridge regression estimator
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

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