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

Simon Power () and William Bishopp

Oxford Bulletin of Economics and Statistics, 1987, vol. 49, issue 3, 343-45

Abstract: 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

Date: 1987
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