Some Asymptotic Properties of Ridge Regression in a System of Seemingly Unrelated Regression Equations

Abstract

A discussion is made of asymptotic properties of an Operational Ordinary Ridge Regression estimator and comparison is made with the Operational Generalized Least Squares estimator. Also, some simulation experiments are carried showing efficiency gains can be made through the use of de Ridge estimator.

Keywords:

• Asymptotic properties
• Ridge regression
• Seemingly unrelated regression equations

Mathematics Subject Classification:

• Primary 62J07
• Secondary 62P20

Acknowledgment

This work was supported by FONDECYT – CHILE, Grant #1010009.