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st: ridge regression


From   "Andy Sloggett" <Andy.Sloggett@lshtm.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: ridge regression
Date   Tue, 18 Nov 2003 16:48:10 +0000

Dear Statalist
A procedure that seems to have a lot of recommendations in modern
regression textbooks but does not appear in the Stata manuals -
amazing!
 
Ridge regression, for use in models where there is  known but
unavoidable collinearity, all I can find is something from STB28!  Is
there anything more recent around please or were the STB28 routines the
last word?
 
Many thanks
Andy
 

Andy Sloggett
Lecturer in Medical Demography
and MSc Course Organiser
Centre for Population Studies
London School of Hygiene & Tropical Medicine
50 Bedford Square, London, WC1B 3DP
Tel: 020 7299 4628
Fax: 020 7299 4637

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