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1984•Communication in Statistics- Theory and MethodsRequires access

Combining ridge and principal component regression:a money demand illustration

Michael R. Baye, Darrell Parker

Open publisher page 111 citations

Abstract

In this paper we examine a class of estimators which includes ordinary least squares, ordinary ridge regression, and principal components regression. It is demonstrated that gains exist from jointly utilizing the PCR and ORR techniques.A money demand example is utilized to illustrate alternative estimators.

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What this paper is about

In this paper we examine a class of estimators which includes ordinary least squares, ordinary ridge regression, and principal components regression. It is demonstrated that gains exist from jointly utilizing the PCR and ORR techniques.A money demand example is utilized to illustrate alternative estimators.

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OpenAlex reports 111 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

In this paper we examine a class of estimators which includes ordinary least squares, ordinary ridge regression, and principal components regression. It is demonstrated that gains exist from jointly utilizing the PCR and ORR techniques.A money demand example is utilized to illustrate alternative estimators.

Key concepts: Ordinary least squares, Principal component regression, Estimator, Ridge, Principal component analysis, Regression, Econometrics, Statistics

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