Journal
STATISTICAL PAPERS
Volume 51, Issue 2, Pages 357-368Publisher
SPRINGER
DOI: 10.1007/s00362-008-0192-6
Keywords
Differencing estimator; Differencing matrix; Multicollinearity; Ridge regression estimator
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The paper introduces a new difference-based ridge regression estimator (beta) over cap (k) of the regression parameters beta in the partial linear model. Its mean-squared error is compared analytically with the non-ridge version (beta) over cap (0). Finally, the performance of the new estimator is evaluated for a real data set.
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