[R] lm.ridge in library(MASS) produces inconsistent parameter estimates as compared to matrix algebra
Georg D. Blind
georg.blind at gmx.net
Fri May 28 18:38:21 CEST 2010
using the hkb estimator obtained from lm.ridge in the below equation
(Formula 6 from this article:
beta^hat(k) = ((x'x + kI)^-1)x'y, where
x matrix of independent variables
y vector of dependent variables
k hkb estimator
then I am getting smaller coefficient estimates than from within
lm.ridge. The difference is not due to lm.ridge$scales.
Any hints as to this?
Thank you and kind regards.
Georg Blind M.Sc. (Econ.), M.A. (Japanese Studies)
Email: georg.blind at gmx.net
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