Hi all,

I have run a ridge regression as follows:

reg=lm.ridge(final$l~final$lag1+final$lag2+final$g+final$u,
lambda=seq(0,10,0.01))

Then I enter :

select(reg)   and it returns: modified HKB estimator is 19.3409
                                       modified L-W estimator is 36.18617
                                       smallest value of GCV  at 10

I think it means that it is advisable to use the results of regression
corresponding to lambda= 10;
so the next thing I do is:

reg=lm.ridge(final$l~final$lag1+final$lag2+final$g+final$u, lambda=10)

which yields:

                             final$lag1    final$lag2       final$g
    final$u
 3.147255e-04  1.802505e-01 -4.461005e-02 -1.728046e-09 -5.154932e-04


The main issue is that I want to access these coefficient values
automatically, i.e. R should run the regression and automatically provide
me these values after taking into consideration that lambda which minimizes
the GCV.   Kindly advise me how I can proceed.


Thanks and regards,
Preetam


-- 
Preetam Pal
(+91)-9432212774
M-Stat 2nd Year,                                             Room No. N-114
Statistics Division,                                           C.V.Raman
Hall
Indian Statistical Institute,                                 B.H.O.S.
Kolkata.

	[[alternative HTML version deleted]]

