Estimation of ill-conditioned models using penalized sums of squares of the residuals
用惩罚残差平方和估计病态模型
This paper analyzes the estimation of econometric models by penalizing the sum of squares of the residuals with a factor that makes the model estimates approximate those that would be obtained when considering the possible simple regressions between the dependent variable of the econometric model and each of its independent variables. It is shown that the ridge estimator is a particular case of the penalized estimator obtained, which, upon analysis of its main…