THE EXACT MSE—EFFICIENCY OF THE GENERAL RIDGE ESTIMATOR RELATIVE TO OLS

R. Teekens and Paul de Boer

No 272142, Econometric Institute Archives from Erasmus University Rotterdam

Abstract: In this paper it has been pointed out that the merits of the Ridge procedure as proposed by Hoerl and Kennard tend to be overvalued due to an incorrect analysis of the associated Mean Square Error. For the case of the so-called General Ridge Estimator it is then shown how the exact MSE can be derived and finally it is seen that General Ridge Estimator dominates the OLS estimator .only in a limited interval of the parameter space.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 26
Date: 1977
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:eureia:272142

DOI: 10.22004/ag.econ.272142

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