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Small sample properties of a ridge regression estimator when there exist omitted variables

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An Erratum to this article was published on 12 November 2011

Abstract

In this paper, we derive the exact formulae for moments of the ridge regression estimator proposed by Huang (Econ Lett 62:261–264, 1999), when there exist omitted variables. We show the conditions under which the ridge regression estimator has smaller mean squared error (MSE) than the ordinary least squares estimator. Based on the exact formulae for moments, we compare the bias and MSE performances of both estimators by numerical evaluations.

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Authors and Affiliations

  1. Graduate School of Economics, Kobe University, Rokkodai, Nada-ku, Kobe, 657-8501, Japan

    Ryo Uemukai

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  1. Ryo Uemukai
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Correspondence to Ryo Uemukai.

Additional information

An erratum to this article can be found at http://dx.doi.org/10.1007/s00362-011-0413-2

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Uemukai, R. Small sample properties of a ridge regression estimator when there exist omitted variables. Stat Papers 52, 953–969 (2011). https://doi.org/10.1007/s00362-009-0303-z

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  • DOI: https://doi.org/10.1007/s00362-009-0303-z

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