Generalized Ridge Regression: Biased Estimation for Multiple Linear Regression Models
广义岭回归:多元线性回归模型的有偏估计
When the regressors of a econometric linear model are nonorthogonal, it is well known that their estimation by ordinary least squares can present various problems that discourage the use of this model. The ridge regression is the most commonly used alternative; however, its generalized version has hardly been analyzed. The present work addresses the estimation of this generalized version, as well as the calculation of its mean squared error, goodness of fit and bootstrap…