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help for ^rxrmaxl^       				STB-28: sg45
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Generalized ridge regression: shrinkage extent
----------------------------------------------

        ^rxrmaxl^ depvar varlist [^if^ exp] [^in^ range]

                [^,^ ^m^steps^(^#^)^ ^omd^min^(^#^)^ ^q^shape^(^#^)^ ^r^escale^(^#^)^ ^t^ol^(^#^)^ ]


To reset problem-size limits, see ^help matsize^.


Description
-----------

^rxrmaxl^ calculates three normal-theory, maximum-likelihood criteria
(classical, empirical Bayes, and random coefficients) for a choice of
shrinkage extent in the ridge regression of ^depvar^ on ^varlist^.


Options
-------

^msteps(^#^)^ specifies the number of steps per unit increase in ^MCAL^, the multi-
    collinearity allowance parameter; the default value is 4.  The total number
    of steps along the generalized shrinkage path from the least squares solu-
    tion (^MCAL^=0) to all zero coefficients (^MCAL^=p) will thus be 1+(msteps*p).

^omdmin(^#^)^ is the strictly positive minimum value to be used for calculation
    of (1-delta) shrinkage factors.  The default is 10e-13.

^qshape(^#^)^ controls the shape (or curvature) of the generalized shrinkage
    path through likelihood space; the default value is 0, which yields Hoerl-
    Kennard "ordinary" ridge regression.  ^qshape^=1 yields uniform shrinkage,
    and all ^qshape^ values between -5 and 5 are allowed.

^rescale(^#^)^ controls the scaling of the response variable and all p
    predictor variables in the ^varlist^.  The default value is ^rescale^=1 to
    scale all centered variables to have sample variance 1.  ^rescale^=0 should
    be specified to retain the original scalings.

^tol(^#^)^ specifies search convergence criterion and defaults to 0.01.


Example
-------

 . ^rxrmaxl mpg cylnds cubins hpower weight, q(-1)^


Author
------

        Robert L. Obenchain
        Eli Lilly and Company


Also see
--------

    STB:  STB-28 sg45
On-line:  ^help^ for @rxridge@ and @rxrcrlq@

