A Note on the Computation of the Correct Estimated Covariance Matrix for a Ridge Regression Shortcut.

This paper provides simple computational procedures for the calculation of the correct estimated covariance ma trix and associated standard errors for a commonly used regression sh ortcut, whereby ridge-regression estimates are obtained via an augmen ted ordinary least squares regression. Copyright 1987 by Blackwell Publishing Ltd

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Year of publication:	1987
Authors:	Power, Simon ; Bishopp, William
Published in:	Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 49.1987, 3, p. 343-45
Publisher:	Department of Economics

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005186768