Dear all, using the hkb estimator obtained from lm.ridge in the below equation (Formula 6 from this article: http://www3.interscience.wiley.com/cgi-bin/fulltext/122484280/PDFSTART beta^hat(k) = ((x'x + kI)^-1)x'y, where x matrix of independent variables y vector of dependent variables k hkb estimator I identity then I am getting smaller coefficient estimates than from within lm.ridge. The difference is not due to lm.ridge$scales. Any hints as to this? Thank you and kind regards. Georg __________________________________________________ Georg Blind M.Sc. (Econ.), M.A. (Japanese Studies) Email: georg.blind at gmx.net
lm.ridge in library(MASS) produces inconsistent parameter estimates as compared to matrix algebra
1 message · Georg D. Blind