Grocer Function

NAME

ridge - ridge regression

CALLING SEQUENCE

[rridge]=ridge(namey, arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes Hoerl-Kennard Ridge Regression, using either the theta value entered by the user or the default one recommended by Hoerl and Kennard. Endogenous variable must be given first, as a vector, a ts, between quotes (if the user wants to keep the name of the variable in the tlist result and for the printings) or not. Exogenous variables are given after, in one of the formats authorized for the endogenous one, or in matrix format. The program displays on screen various results (coefficients, tstat, Rē, Durbin and Watson, first order autocorrelation of residuals,...) except if the user has entered the argument 'noprint' anywhere after the first argument.

EXAMPLE

1) r = ridge('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte')
2) r = ridge('del(lm1-lp)','del(lp)','del(lagts(1,lm1-lp-ly))','rnet','lagts(1,lm1-lp-ly)','cte', 'theta=0.001')

These examples shows the results of a ridge regression on Hendry and Ericsson's preferred regression, using for theta the default parameter in example 1 and 0.001 in example 2.

AUTHOR

Eric Dubois 2002